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Starting References for Treasury Futures Yield Curve Spreads

Article Quant Q&A · Author: Camilo Avella
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Summary

The document points readers interested in yield curve spread trading with Treasury futures toward CME Group educational pamphlets on inter-commodity interest rate spreads and yield curve spread trades. It names the topic through examples such as NOL, NOB, and FYT, and frames the pamphlets as introductory material for someone seeking a more comprehensive treatment similar to a Treasury basis reference.

The document does not explain how to construct, value, hedge, or evaluate these trades, and it presents no empirical evidence or detailed methodology. Its recommendation is therefore a starting point for further study rather than a complete trading guide. The answer also indicates that the author had not found a book or paper of comparable depth, so the listed material may not satisfy readers seeking a rigorous, unified reference.

Key ideas

  • CME Group pamphlets are suggested as introductory references for Treasury futures spread trading.
  • The topic includes yield curve spreads constructed with Treasury futures.
  • The document offers references rather than trade mechanics, analysis, or performance evidence.

Tags

FuturesFixed income
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# Good References for Treasury Futures Spreads


# Good References for Treasury Futures Spreads












I’m reading the excellent Treasury Bond Basis by Burghardt. I was wondering if there’s a similar quality book/paper about Yield curve spreads using treasury futures (i.e. NOL, NOB, FYT).

## Answer by hernanavella (score 4)

https://quant.stackexchange.com/a/43689

Im interested in this topic myself. I haven't found anything of a good standard yet. However, there are some pamphlets from CME that could be useful as an initial exploration. I will keep looking and improving this answer.

- Overview of Inter-Commodity Spreads for Interest Rate Products. CME Group

- Yield Curve Spread Trades: Opportunities & Applications. CME Group

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.