bond-futures-basis

To calculate bond futures basis, compute gross basis, carry, net basis (BNOC), and implied repo rate while comparing futures pricing with yield curves to identify the cheapest-to-deliver (CTD) bonds for trading opportunities.

In basis trading, the yield curve provides a short-end rate proxy for the repo rate, which you compare against the implied repo rate to assess delivery option value and identify profitable bond futures basis trading opportunities.

You can analyze historical bond futures basis by tracking basis evolution over time using historical pricing data, enabling assessment of long-term delivery option value and basis trading patterns for investment decisions.

Yes, you can integrate sovereign credit curves to check for credit-driven basis distortions, allowing you to evaluate whether credit factors are impacting bond futures pricing and basis metrics.

Yes, you need a future contract RIC and a bond identifier to run the analysis. The tool uses these inputs to calculate fair prices, compute basis metrics, and evaluate yield curve context for delivery option value.

Bond analytics metrics used to assess delivery option value include gross basis, carry, net basis (BNOC), and implied repo rate, compared against short-end yield curve rates to evaluate bond futures trading opportunities.