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The CME describes how to put on a 2s10s trade in this screenshot:
Looking at current 2 and 10 year futures the CTD is roughly a 2 year and 7 year respectively.
Am I right in saying that using the current 2 and 10 year futures to put on a 2s10s trade, you're actually not capturing the spread between the 2 year yield and the 10 year yield? It's more the 2 and 7 year yield spread?
According to the contract specs of the 10 Year Treasury Note ("TY") future, you can deliver any UST
with a remaining term to maturity of at least six and a half years, but not more than 10 years, from the first day of the delivery month.
So yes, TY is typically closer to a 7 year UST than a 10 year.
Perhaps you can look at UXY, the 10y Ultra Future, which is closer to 10 years with a minimum remaining maturity of 9 years and 5 months.
The pool of deliverable bonds for TY (currently around 18) is much wider than for UXY (currently 2).
