Strategy #0000000034 · Fixed-income relative value
Yield-curve steepener and flattener
Express a slope view across two maturities; choose the direction, then balance first-order DV01.
A steepener expects the long-minus-short yield spread to widen; a flattener expects it to narrow. DV01 matching can reduce outright duration exposure. State the spread convention explicitly because market shorthand varies.
Opposing rate exposures at two maturities focus the scenario on a curve-slope change.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
How does a DV01-balanced two-leg position respond when the short-to-long yield spread widens or narrows?
Rose defines slope as the 10-year yield minus the 2-year yield. For a widening view, she sizes opposing long- and short-end positions by relative DV01 rather than simply buying long bonds.
For small moves, DV01 can offset first-order parallel shifts. Unequal moves leave slope P&L; convexity, carry, funding and twists still matter.
The simulator enters both yield moves and shows the assumed directional result. A real test needs instrument prices, rolls, DV01 rebalancing and executable prices on both legs.
- Equal DV01 legsPosition sizes use equal DV01 per leg; output is illustrative DV01-times-basis-point P&L.
- Assumed short-end moveAssumes fixed first-order DV01; not a backtest and excludes convexity, carry, basis, margin and fills.
- Assumed long-end move; steepenerIllustrative expiry outcome.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
\operatorname{PnL}_{stp}=DV01_l\Delta y_l-DV01_s\Delta y_s,\quad DV01_s=DV01_l
Yield changes are in basis points; DV01 is price sensitivity to a 1 bp move. Under this sign convention, a steepener profits when long yields rise relative to short yields.
Greeks: the directional intuition
- 曲線風險
- Measures sensitivity to implied volatility.
- 基差
- Measures sensitivity to implied volatility.
- 槓桿
- Measures sensitivity to implied volatility.
\operatorname{PnL}_{stp}=DV01_l\Delta y_l-DV01_s\Delta y_s,\quad DV01_s=DV01_l
Practical context · published observations
Yield-curve steepener and flattener: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
假設平行一階 DV01 固定，不是歷史回測；未含 convexity、carry、basis、保證金或成交。 Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Related implementations change different assumptions.
Each row distinguishes the changed mechanism and its trade-off.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| 2s10s steepener | Common slope | Long long-end rate exposure against the short end. | Two nodes do not represent the full curve. |
| Bull/bear steepener | Level overlay | Adds duration exposure according to the rate regime. | Mixes slope and outright level risk. |
| Curve butterfly | Curvature | Trades the belly against two curve wings. | DV01 neutrality retains node and convexity risk. |
Assumes fixed first-order DV01; not a backtest and excludes convexity, carry, basis, margin and fills.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.
- 01CME Group, Treasury futures yield-curve spreads.primary
- 02Koijen et al. (2018), Carry.research