CME Group 30-Year U.S. Treasury bonds

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In March 2011, the CME split the 30-Year U.S. Treasury Bonds into two bonds: CME Group U.S. Treasury Bond, which has a remaining term to maturity of at least 15 years but less than 25 years, and CME Group Ultra U.S. Treasury Bond, with a remaining term to maturity of more than 25 years.[1][2]

History of the 30-Year US Treasury Bond Futures

Futures on the 30-Year US Treasury bond originated at the Chicago Board of Trade. CME Group took over those contracts when the Chicago Mercantile Exchange acquired the CBOT in 2007. 30-Year Bond futures at the CBOT where introduced in August of 1977.[3]

The 30-year bond has long been a favorite of fixed income market participants seeking to match assets to future liabilities. It serves as an important benchmark by which other long-dated securities are measured.[4]

The Treasury suspended issuing the bonds for several years, starting in October 2001, after four years of rising budget surpluses. The government's fiscal condition has worsened after the Sept. 11, 2001 attacks, but forecasters expected any dip into deficit would be short-lived. The administration hoped that by dropping the "long bond" it would lower government borrowing costs, since bonds that mature in more than 10 years typically must offer higher interest rates to compensate buyers for the added risk. It also hoped that the move would push buyers to the 10-year Treasury bond, closely tied to 30-year mortgages, and that the added demand would drive down mortgage rates.

But forecasted surpluses turned into deficits topping out at $412 billion. Wall Street pressured the administration for years to bring back the 30-Year bond and on August 3, 2005 the Treasury complied, announcing the first long-bond auction for February 2006.[5]


30-year U.S. Treasury bond futures
Exchange CME Group
Settlement Cash settled
Contract Size One U.S. Treasury bond having a face value at maturity of $100,000. U.S. Treasury bonds that, if callable, are not callable for at least 15 years from the first day of the delivery month or, if not callable, have a maturity of at least 15 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 bond ($1 par value) to yield 6 percent.
Pricing Unit 1 point = $15.625
Tick Value 1/32 point -- $31.25/contract per 100 points per contract (on March 3, 2008, tick size will be halved to 1/64 point or $15.625/contract[6]) except for intermonth spreads, where minimum price fluctuation is in multiples of one-quarter of 1/32 point per 100 points -- $7.8125/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 7:20 am - 2:00 pm, Chicago time, Monday - Friday; trading in expiring contracts closes at noon, Chicago time, on the last trading day 6:00 pm - 4:00 pm, Chicago time, Sunday - Friday; trading in expiring contracts closes at noon, Chicago time, on the last trading day
Ticker Symbol US ZB
Price Limits None None
 
30-year U.S. Treasury bond 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 The first 3 consecutive contract months (2 serial expirations and one quarterly expiration) plus the next 4 months in the quarterly cycle (Mar, Jun, Sep, Dec). Always be 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 Trading for put and call options with striking prices in integral multiples of one (1) point per U.S. Treasury bond futures contract. If 30-Year T-bond futures are at 92-100, strike prices may be set at 89, 90, 91, 92, 93, 94, 95, etc.
  Open Outcry Electronic
Trading Hours Open Auction: 7:20 am - 2:00 pm, Chicago Time, Monday - Friday 6:02 p.m. - 4:00 p.m. Chicago Time, Sunday - Friday
Ticker Symbol CG for calls, PG for puts OZBC for calls, OZBP for puts
Price Limits None None

Notes

Also See

References

  1. Ultra U.s. Treasury Bond Futures and Options. CME Group.
  2. U.S. Treasury Bond Futures Contract Specs. CME Group.
  3. Market Place; Bond Futures' 10-Year Climb. New York Times.
  4. Treasury Reintroduces 30-Year Bond. Treasury Direct.
  5. 30-Year Treasury Bond Revived After 4-Year Hiatus. The Washington Post.
  6. "CME Group Delivers Merger Benefits to the Market Through Upcoming Technology Upgrades and Product Enhancements”. CME Group.


Resources

CME Group Web site