CME Group 2-Year U.S. Treasury notes

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2-Year U.S. Treasury note futures
Exchange CME Group
Settlement Cash settled
Contract Size One CBOT U.S. Treasury note having a face value at maturity of $200,000
Pricing Unit Points ($2,000) and One-quarter of one thirty-second (1/32) of one point ($15.625, rounded to the nearest cent per contract), including intermonth spreads; for example, 91-16 equals 91 16/32, 91-162 equals 91 16.25/32, 91-165 equals 91 16.5/32, and 91-167 equals 91 16.75/32
Tick Value Multiples of one-quarter of one thirty-second (1/32) point per 100 points ($15.625 rounded up to the nearest cent per contract). Par shall be on the basis of 100 points. Contracts shall not be made on any other price basis.
Contract Months The first three consecutive contracts in the March, June, September, and December quarterly cycle.
Last Trading Day Last business day of the calendar month. Trading in expiring contracts closes at noon, Chicago time, on the last trading day.
Note: This contract is electronic ONLY -- no open outcry
  No Open Outcry Electronic
Trading Hours N/A 5:00 p.m. - 4:00 p.m. Central Time, Sunday-Friday
Ticker Symbol N/A CME Globex: ZT

CME ClearPort: 26

Clearing: 26

Price Limits N/A Price Limits
2-Year U.S. Treasury note options
Trade Unit One futures contract
Point Value $15.625
Tick Value 1/2 of 1/64 of a point ($15.625/contract) rounded up to the nearest cent/contract
Option Months The first 3 consecutive contract months (2 serial expirations and one quarterly expiration) plus the next 2 months in the quarterly cycle (Mar, Jun, Sep, Dec). There will always be 7 months available for trading. Serials will exercise into the first nearby quarterly futures contract. Quarterlies will exercise into futures contracts of the same delivery period.
Strike Prices One-quarter point ($500/contract) to bracket the current 2-Year T-note futures price. For example, if 2-year T-note futures are at 94-00, strike prices may be set at 93.25, 93.50, 93.75, 94.00, 94.25, 94.50, 94.75, etc.
Exercise Style American exercise: The buyer of a futures option may exercise the option on any business day prior to expiration by giving notice to the CME Group clearing by 6:00 pm, Central Time. Options that expire in-the-money are automatically exercised into a position, unless specific instructions are given to CME Group clearing.
  Open Outcry Electronic
Trading Hours 7:20 am - 2:00 pm, Central Time, Monday - Friday CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. Chicago Time/CT) with a 60-minute break each day beginning at 5:00 p.m. (4:00 p.m. CT)

CME ClearPort: Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. Chicago Time/CT) with a 60-minute break each day beginning at 5:00 p.m. (4:00 p.m. CT)

Ticker Symbol Open Outcry: TW1,TW2,TW3,TW4,TW5 CME Globex: ZT1,ZT2,ZT3,ZT4,ZT5

CME ClearPort: TW1,TW2,TW3,TW4,TW5

Price Limits Price Limits Price Limits


Other than American option, there is weekly option for 2-Year U.S. Treasury Note futures contract. For contract specification of the weekly option, please refer to weekly option specification for 2-Year Treasury Note futures contract

(*)Last Trading Day: Options cease trading on the last Friday which precedes by at least two business days, the last business day of the month preceding the option month. Options cease trading at the close of the regular daytime open auction trading session for the corresponding 2-Year Treasury Note futures contract.

Also See

CME Group interest rate products


CME Group 2-Year U.S. Treasury Notes Contract Specification

Last modified on 2 August 2018, at 13:02