A yield neutral play against curve inversion
The idea is a position that profits from any difference between the 20yr bond ETF (
TLT) and IEF, the 10yr Note ETF. The potential opportunity lies in their identical share price, a rare event.
Yield on the 20yr has never been lower than the yield on the 10yr (since 1989). The top chart shows the difference in price . Always above 0. It implies that TLT's share price has always been higher than IEF's (middle chart, excluding 6mo in 2011). Bottom chart is TLT-IEF. Almost always >= zero.
This week the price difference was ~zero. A position that profits from any gap between TLT and IEF is a high probability trade.
Actionable trade details will depend on the assets used and may include:
TLT) and IEF, the 10yr Note ETF. The potential opportunity lies in their identical share price, a rare event.Yield on the 20yr has never been lower than the yield on the 10yr (since 1989). The top chart shows the difference in price . Always above 0. It implies that TLT's share price has always been higher than IEF's (middle chart, excluding 6mo in 2011). Bottom chart is TLT-IEF. Almost always >= zero.
This week the price difference was ~zero. A position that profits from any gap between TLT and IEF is a high probability trade.
Actionable trade details will depend on the assets used and may include:
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