CME Group 10-Year U.S. Treasury notes

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10-year U.S. Treasury notes futures
Exchange CME Group
Settlement Cash settled
Contract Size One U.S. Treasury note having a face value at maturity of $100,000. U.S. Treasury notes maturing at least 6-1/2 years, but not more than 10 years, from the first day of the delivery month. The invoice price equals the futures settlement price times a conversion factor plus accrued interest. The conversion factor is the price of the delivered note ($1 par value) to yield 6%.
Pricing Unit Points ($1,000) and one-half of 1/32 of a point; i.e., 84-16 equals 84-16/32, 84-165 equals 84-16.5/32
Tick Value multiples of one-half of 1/32 point per 100 points -- $15.625 -- except for intermonth spreads, where minimum price fluctuations is in multiples of one-fourth of 1/32 point per 100 points -- $7.8125. Values are rounded up to the nearest cent/contract.
Contract Months Mar, Jun, Sep, Dec
Last Trading Day Seventh business day preceding the last business day of the delivery month. Trading in expiring contracts closes at noon, Chicago time, on the last trading day.
  Open Outcry Electronic
Trading Hours N/A SUN - FRI: 5:00 p.m. - 4:00 p.m. Central Time
Ticker Symbol N/A ZN
Price Limits N/A None
 
10-year U.S. Treasury notes options
Trade Unit One futures contract
Point Value Need point value!
Tick Value $15.625/contract (1/64 of a point rounded up to the nearest cent/contract.)
Option Months At least four consecutive contract months (three serial expirations and one quarterly expiration) plus the next two months in the quarterly cycle (Mar, Jun, Sep, Dec). Always 7 months available for trading. Serials exercise into the first nearby quarterly futures contract. Quarterlies exercise into futures contracts of the same delivery period.
Strike Prices 1 point ($1,000/contract) to bracket the current T-note futures price. If 10-year T-note futures are at 92-00, strike prices may be set at 89, 90, 91, 92, 93, 94, 95, etc.
  Open Outcry Electronic
Trading Hours 7:20 am - 2:00 pm, Central Time, Monday - Friday 5:00 pm - 4:00 pm, Central Time, Sunday - Friday
Ticker Symbol TC for calls, TP for puts OZN
Price Limits None None

Notes

Also See

CME Group interest rate products

Resources

CME Group Web site

Last modified on 15 June 2018, at 15:30