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It seems that when trading long term bonds *** and choosing between the two offerings on CME one is presented with a Scylla and Charybdis decision.

1. VOLATILITY CONSISTENCY: Ultra U.S. Treasury Bond Futures (UB) have a more consistent volatility profile given its basket of deliverable is homogeneous and you can expect roughly a 25 year duration. On the other hand ZB has a variable duration, from 17-22 years.

2. SKEW: U.S. Treasury Bond Futures (ZB) have a preferable skew profile.

So one would prefer leveraging ZB to achieve the volatility of UB.

Am I reading the trade offs correctly? Is there anything that I'm missing?

*** Long biased trading strategy. Outright positioning. Position duration 6-24 hours.

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