I do indeed trade bond futures. At the moment, I’m long a considerable amount of June ‘08 30-years, short an equal amount of June ‘08 10-years. We’re up about 17 ticks at the moment, but I rather fancy there’s 30-odd ticks to be made, so we’re sitting still for the time being.
Then how do you explain the small yield differential between TIPS and 10 Treasuries?
If I had your view of inflation I wouldn't put on such a flattening trade but, if its working, that's all you need to know. Never assume that the markets are supposed to make sense, huh?