CTA · Core
Intra-Curve Fixed-Income CTA
Steepeners, flatteners, and butterflies on the bond/STIR strip — duration-neutral-ish curve trades as a CTA RV sleeve.
Definition
2s10s, 5s30s, pack spreads, condors. Signals from trend on the spread, carry on the fly, or systematic macro on the path of hikes. Net DV01 should be near zero if they claim neutrality; in practice flies have residual convexity.
Why it matters
It is how a rates specialist makes money when the outright trend is dead but the strip is moving.
Case
A 2023 inversion un-steepening. The flattener that was the 2022 gift becomes the 2023 hole. Curve trend still needs a stop.
How to read it
Residual DV01 and convexity. ‘Neutral’ flies that make money only when vol rises are short or long vol in costume.
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