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There are two equations that help me understand this: 1) Gross Basis = Spot CTD Price - Conversion Factor * Futures Price If the Gross basis is positive, this means that it is a positive carry. In other words, buying the underlying CTD and delivering it against selling the futures results in a gain 2) Net Basis = Forward CTD Price - Conversion Factor * ...


The market price of the roll (aka calendar spread) is defined as $$ (\text{front contract price} - \text{back contract price}) \times 32, $$ where the ${}\times32$ part converts the price into "32nds," the standard quoting convention for Treasury futures calendar spreads. Estimating the fair value of the roll, in principle, is straightforward. We'd compute ...

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