Скачать или смотреть How to Calculate Treasury Futures DV01 (Calculating & Converting DV01 of the Cheapest to Deliver)

Ever wonder how a single trade in U.S. 10-Year Treasury futures can gain or lose $5.1 million for every 1 basis point move in interest rates? In this video, I break down the epic scale of a recent 78,000 TY block trade (possibly the largest ever) and explain exactly how the bond math works behind the scenes.

We’ll cover:

What is DV01 and how it measures interest rate risk

The role of duration (Macaulay vs. modified) in calculating DV01

How bond prices respond to changes in yields

The unique mechanics of Treasury futures contracts vs. bonds

What is the Cheapest to Deliver (CTD) bond and why it matters

How conversion factors standardize futures baskets

The full walkthrough of the $5.1 million DV01 calculation

Whether you're a fixed income rookie or a full-on bond nerd, this deep dive will show you how professionals translate time into money in the futures market.

⏱ Timestamp Topics
0:00 Intro: The Massive Trade
0:39 What Is DV01?
1:25 Duration and Price Sensitivity
2:35 Bonds vs. Treasury Futures
4:00 The “Cheapest to Deliver” Explained
5:15 Applying the Conversion Factor
6:00 Final Math: $5.1mm DV01 Breakdown

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