US Treasury Spot-Futures Price Differential

Basis Trade Analyzer: US Treasury Spot vs Futures Price Differential

Description:
This advanced indicator calculates and visualizes the price difference between US Treasury notes/bonds in the spot market versus their corresponding futures contracts. It's designed for traders who specialize in basis trading and cash-and-carry arbitrage strategies.

Key Features:

Calculates real-time price differential (basis) between spot and futures for 2Y, 5Y, and 10Y Treasuries

Displays the basis in both price points and basis points (bps)

Visualizes 200-day moving average and ±2 standard deviation bands

Includes comprehensive data table with:

Current spot and futures prices

Price differential and historical average

Volatility measurements

Built-in alerts for statistically significant deviations

Supported Instruments:

Spot: USB02YUSD (2Y), USB05YUSD (5Y), USB10YUSD (10Y)

Futures: ZT1! (2Y), ZF1! (5Y), ZN1! (10Y)

Usage Instructions:

Select the Treasury maturity (2Y/5Y/10Y) from the input menu

Monitor the blue line for current basis

Watch for mean-reversion opportunities when price approaches the bands

Use the data table for quick reference to key metrics

Professional Applications:

Identify cash-and-carry arbitrage opportunities

Monitor convergence trends as contracts approach delivery

Analyze historical basis volatility patterns

Develop relative value trading strategies

Note: The indicator uses direct price comparisons (not yields) for accurate basis calculations. For optimal results, use daily or weekly timeframes.