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For all contracts except the 2-year and 5-year, the last trading day is 7 business days before the end of the contract month.

If we assume there is no optionality, isn't there a mismatch in carry. Futures price is set on the last trading day when it stops trading and that's the price you use until the last delivery date. For the CTD bond, you can calculate the forward to the last delivery date. So what you have is the following:

CTD Forward on last delivery - Conversion Factor * (Futures on last trading day)

There is a mismatch in carry.

Would it be fair to calculate CTD forward to the last trading day to match that of futures?

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    $\begingroup$ Why do you think there is a mismatch in carry ? $\endgroup$ – Antoine Conze Nov 15 '19 at 9:33
  • $\begingroup$ "and that's the price you use until the last delivery date" - indeed. So "would it be fair to calculate CTD forward to the last trading day" - No. When you have optional delivery windows the seller delivers whenever and whatever is cheapest. The buyer should rationally expect that. $\endgroup$ – Attack68 Nov 15 '19 at 12:47
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Assume there is no optionality. Let $T$ = last delivery date. "CTD Forward on last delivery" is a price in time $T$ money. "Futures on last trading day" is also a price in time $T$ money. There is no mismatch in carry.

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  • $\begingroup$ Thanks, this makes sense now. So the futures price on the last trading day is the price for last delivery. $\endgroup$ – VanillaCall Nov 16 '19 at 3:54

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