Auction Trading Effect Code/ Treasury auction dates

Options & Futures
1

I am trying to update the treasury auction dates through https://home.treasury.gov/system/files/221/Tentative-Auction-Schedule.pdf.

The page has multiple dates every month. Can you please help to identify the date that should be relevant for the auction Trading effect?



It will be great if you guys can update the CSV spreadsheet and update the course to 2023 .



Thank You.

2

Hello Pierre,



As mentioned in the section 10 unit 4, the auction trading effect is seen in the days around the "Auction date". Thus, you will be focusing on the auction date. 

Now, in the strategy, we had focused on the iShares 20+ Year Treasury Bond ETF with the ticker TLT, which tracks the investment results of an index composed of U.S. Treasury bonds with remaining maturities greater than twenty years. Thus, you can check the bonds which are more than 20 years maturities. For example, in the link you have provided, you will look at the auction date of 20-Year BOND.

We will update the data files shortly. Thank you.



I hope this helps. 

3

Thank you, I look forward for the update in order to smoothly move forward with my study.

4

Please keep me posted as soon as  the update is uploaded.

5

We will certainly keep you informed once the data is updated.



Thanks

6

Hello Pierre,



The notebook was updated with the data.



Thanks.