The Treasury Bond Basis: An In Depth Analysis for Hedgers, Speculators and Arbitrageurs

Rating:
Summary: THE textbook for basis trading
Review: This is simply the only truly readable and authoritative book on its subject. Terry Belton is acknowledged as being the foremost authority on futures research, and this book bears it out. If you're thinking about basis trading, or work in the derivatives market, this book is well worth a look.

(I should also mention that Terry is my boss..doesn't stop it being a good book, though. Hope I get that raise!)