Traditional hedge of bond duration and convexity are incorrect. We derive correct hedge ratios by capturing the neglected volatility linkage between Treasury futures and cheapest-to-deliver Treasuries. Our hedge-ratio equations specify each hedge instrument’s contribution against short-term spot and forward rate exposures. Our numerical analysis indicates that traditional hedge substantially overhedges. The relative overhedge is especially large in hedging high coupon bond when the hedge horizon is long, the term structure is steep, or the cheapest-to-deliver is a high coupon Treasury. The results are robust to various maturity of bond and the cheapest-to-deliver Treasuries.