Volume 14 | Issue 1 | Article 3

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A Review of the Interrelated Nature of T-Bond Futures Delivery Options
Robert Daigler

Using T-bond/T-note futures delivery options for hedging and arbitrage purposes is a complicated endeavor. We examine the interrelated nature of the factors associated with these delivery options and how they affect the resultant potential profits to the short. Our approach includes the hedger's perspective on using these delivery options to reduce the hidden costs of undertaking short hedging positions.