Contents
Chapter 1: Basic Concepts
Chapter 2: What Drives the Basis?
Chapter 3: The Short's Strategic Delivery Options
Chapter 4: The Option-Adjusted Basis
Chapter 5: Hedging with Bond and Note Futures
Chapter 6: Trading the Basis
Chapter 7: Volatility Arbitrage
Chapter 8: Nine Eras of the Bond Basis
Chapter 9: Non-Dollar Government Bond Futures
Chapter 10: Applications for Portfolio Managers

This is the essential, updated guide to profiting and hedging using the 'basis, ' from two top authorities on futures research. Since it was first published in 1989, "The Treasury Bond Basis" has grown to become a mandatory reference book for every professional trader of treasury bond and note futures. An insightful analysis of the complex relationship between the cash market and futures market for treasury bonds and notes, its information and influence have helped thousands of hedgers, speculators, and arbitrageurs to understand and profit from that relationship. The third edition of this indispensable reference reflects numerous changes in the market in the decade since the second edition, including: updated explanations of valuing the short's delivery alternatives; new discussions of global bond futures trading and applications for portfolio managers; and, new illustrations, examples, and case studies covering every aspect of the bond basis. In the two decades-plus since the introduction of bond futures, fluctuations in the T-bond basis have supplied consistent opportunities for hedgers and traders.