Plotting Treasury Futures implied repo over time: what should the time series look like?

External question — Quantitative Finance Stack Exchange Author: WithinCellsInterlinked Original post: https://quant.stackexchange.com/questions/85576 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Treasury futures beginner here, I was playing around with ZN data and produced the below plot of 10y TN futures CTD implied repo over time. It tracks SOFR reasonably well, but I'm surprised with how spiky it looks, mostly in the last few trading days of the delivery month. Here I'm using actual contract-by-contract data from DataBento, not the continuous ZN=F series from yfinance, for instance. The spikiness persists even after moving to an earlier roll date (e.g. 40 days before last trading day). Also, the spikes are not due to annualization (dividing by a vanishing number of days), they're present in the actual time series $\frac{Futures\cdot CF + AI + Coupons}{CTD_{dirty}}$ , i.e. the actual contract economics. My question is: are the economics of the ZN basis trade truly this volatile, even before the delivery month? What is the conventional way of visualizing implied repo over time?

External answer — Quantitative Finance Stack Exchange Author: WithinCellsInterlinked Original post: https://quant.stackexchange.com/a/85577 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Thanks @dm63 and @nbbo2 for your suggestions. I fixed a date mismatch bug and switched to an earlier roll date (5d before deliv month start). The few spikes that remain I think are actually down to market moves, with a few different explanations: Spikes up just before a CTD switch: basis traders anticipate switch and change their long-cash-CTD hedge, selling pressure brings down price of CTD, which brings up implied repo Spikes up or down before delivery month starts: increased rolling activity from both structural longs (asset managers) and shorts (hedge funds) causes spikes in the actual futures price.