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US Treasury Spot-Futures Price Differential
Basis Trade Analyzer: US Treasury Spot vs Futures Price Differential
Description:
This advanced indicator calculates and visualizes the price difference between US Treasury notes/bonds in the spot market versus their corresponding futures contracts. It's designed for traders who specialize in basis trading and cash-and-carry arbitrage strategies.
Key Features:
Calculates real-time price differential (basis) between spot and futures for 2Y, 5Y, and 10Y Treasuries
Displays the basis in both price points and basis points (bps)
Visualizes 200-day moving average and ±2 standard deviation bands
Includes comprehensive data table with:
Current spot and futures prices
Price differential and historical average
Volatility measurements
Built-in alerts for statistically significant deviations
Supported Instruments:
Spot: USB02YUSD (2Y), USB05YUSD (5Y), USB10YUSD (10Y)
Futures: ZT1! (2Y), ZF1! (5Y), ZN1! (10Y)
Usage Instructions:
Select the Treasury maturity (2Y/5Y/10Y) from the input menu
Monitor the blue line for current basis
Watch for mean-reversion opportunities when price approaches the bands
Use the data table for quick reference to key metrics
Professional Applications:
Identify cash-and-carry arbitrage opportunities
Monitor convergence trends as contracts approach delivery
Analyze historical basis volatility patterns
Develop relative value trading strategies
Note: The indicator uses direct price comparisons (not yields) for accurate basis calculations. For optimal results, use daily or weekly timeframes.
Description:
This advanced indicator calculates and visualizes the price difference between US Treasury notes/bonds in the spot market versus their corresponding futures contracts. It's designed for traders who specialize in basis trading and cash-and-carry arbitrage strategies.
Key Features:
Calculates real-time price differential (basis) between spot and futures for 2Y, 5Y, and 10Y Treasuries
Displays the basis in both price points and basis points (bps)
Visualizes 200-day moving average and ±2 standard deviation bands
Includes comprehensive data table with:
Current spot and futures prices
Price differential and historical average
Volatility measurements
Built-in alerts for statistically significant deviations
Supported Instruments:
Spot: USB02YUSD (2Y), USB05YUSD (5Y), USB10YUSD (10Y)
Futures: ZT1! (2Y), ZF1! (5Y), ZN1! (10Y)
Usage Instructions:
Select the Treasury maturity (2Y/5Y/10Y) from the input menu
Monitor the blue line for current basis
Watch for mean-reversion opportunities when price approaches the bands
Use the data table for quick reference to key metrics
Professional Applications:
Identify cash-and-carry arbitrage opportunities
Monitor convergence trends as contracts approach delivery
Analyze historical basis volatility patterns
Develop relative value trading strategies
Note: The indicator uses direct price comparisons (not yields) for accurate basis calculations. For optimal results, use daily or weekly timeframes.
Skrip dilindungi
Skrip ini diterbitkan sebagai sumber tertutup. Akan tetapi, anda boleh menggunakannya dengan percuma dan tanpa had – ketahui lebih lanjut di sini.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.
Skrip dilindungi
Skrip ini diterbitkan sebagai sumber tertutup. Akan tetapi, anda boleh menggunakannya dengan percuma dan tanpa had – ketahui lebih lanjut di sini.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.