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Shorting cash treasuries/new client

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Jan 24, 2009 3:28 am

I am interested in shorting cash treasuries and hedging position with futures, preferrably in the same account; who can do it for me?

Jan 24, 2009 4:08 am

Let me tell you about the “split strike conversion” strategy that I run–only three down months between January 2000 and December 2008 - a 9 year, 108 month period. 

This is a limited time offer, so don’t delay.

Jan 24, 2009 4:55 am

Try doing it yourself with TBT (double short 20-30 year treasury) on the short side.

Jan 24, 2009 3:57 pm

thank you, i am aware of tbt, but i am looking to short cash treasuies

Jan 24, 2009 10:31 pm

that wouldn’t be a hedge now would it

Jan 24, 2009 10:33 pm

do you know the delta of the position you want to hedge? didn’t think so. How about its gamma risk? You know gamma – thats the second derivative of delta.

  If you don't get this correct you could be fucked.
Jan 25, 2009 1:43 pm

Thank you for your reply,

I would like to establish and maintain this position to be as close to delta neutral, as possible. I understand it is not simple, I am looking for someone who has the expertize to put it on and maintain for several years. Are you such an expert or do you know someone who is? 
Jan 25, 2009 8:39 pm

I have a better idea – sell your position in treasurys outright. Doing this for years entails stacking a variety of differeing maturity futures contracts (or options on indexes), and replacing maturing contracts with new longer term ones. Its not just delta neutral you want to worry about 00 which is why are you doing this for years if you want a zero gain/loss LT position? So gamma, theta, rho are relevant too. Does your client have the slightest idea what you want to do? Don’t forget about transaction costs which for small invetors makes these forward based strategies a neg sum game.

Jan 25, 2009 9:30 pm

1- I am the client

2-I dont own treasuries   3-This position does not have to make money,  the cost of maintaning it hopefuly will not be more 1% annualy above any interest due on short bonds   4-I have never mentioned any $ amounts   Yes you need someone with expertise in structuring this   Do you know anyone who can do it?   Thank You
Jan 25, 2009 9:47 pm

It is against regulations to give you any advice in a public forum.  Anybody that does is risking their license.  Find a local bond house to help you with your request.

Jan 25, 2009 10:10 pm

That is what i am trying to do, i smnot looking for online advice

Jan 26, 2009 12:30 am

Contact information on your local bond dealer is located in the yellow pages, not on a message board.

Jan 26, 2009 12:50 am

What is yellow pages?

Jan 26, 2009 1:09 am

This smells. I;m not sure what it smells like, but it smells.

Jan 26, 2009 1:33 am

Well of course there is more to this trade, but one step at a time; clear your nose and think