Difference between revisions of "CME Group 10-Year US Treasury Note"

From MarketsWiki
Jump to: navigation, search
 
Line 13: Line 13:
 
|unit    = One U.S. Treasury note having a face value at maturity of $100,000. U.S. Treasury notes with remaining term to maturity of at least six and one half 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 percent. <!-- Unit of commodity in contract, e.g. 50,000 pounds -->
 
|unit    = One U.S. Treasury note having a face value at maturity of $100,000. U.S. Treasury notes with remaining term to maturity of at least six and one half 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 percent. <!-- Unit of commodity in contract, e.g. 50,000 pounds -->
 
|ptdesc  =  <!-- Description of one contract point, e.g. 0.0001 cents per pound -->
 
|ptdesc  =  <!-- Description of one contract point, e.g. 0.0001 cents per pound -->
|ptval    = Quoted in points ($1,000) and halves of 1/32 of a point. For example, 84-16 represents 84 16/32, and 84-165 represents 84 16.5/32. <!-- Dollar (or other currency) value of a single contract point -->
+
|ptval    = Points ($1,000) and halves of 1/32 of a point. For example, 126-16 represents 126 16/32 and 126-165 represents 126 16.5/32. Par is on the basis of 100 points. <!-- Dollar (or other currency) value of a single contract point -->
 
|tickPt  =  <!-- Number of points per trading tick, eg 2.5 -->
 
|tickPt  =  <!-- Number of points per trading tick, eg 2.5 -->
 
|tickVal  = Regular: 1 = $15.625 <!-- Dollar (or other currency) amount of trading tick -->
 
|tickVal  = Regular: 1 = $15.625 <!-- Dollar (or other currency) amount of trading tick -->
 
|elect    = Y <!-- Y if an electronic trading session exists; leave blank if none -->
 
|elect    = Y <!-- Y if an electronic trading session exists; leave blank if none -->
|elHours  = Sunday - Friday: 5:00 p.m. - 4:00 p.m. Central Time<!-- Electronic trading hours; leave blank if none -->
+
|elHours  = N/A<!-- Electronic trading hours; leave blank if none -->
 
|elLimit  =  <!-- Price limits on electronic trading session; leave blank if none -->
 
|elLimit  =  <!-- Price limits on electronic trading session; leave blank if none -->
 
|elSym    = ZN <!-- Ticker symbol for electronic platform; leave blank if none -->
 
|elSym    = ZN <!-- Ticker symbol for electronic platform; leave blank if none -->
 
|outcry  =  <!-- Y if an open outcry session exists for trading; leave blank if electronic only -->
 
|outcry  =  <!-- Y if an open outcry session exists for trading; leave blank if electronic only -->
|ooHours  =  Monday- Friday: 7:20 a.m. - 2:00 p.m. Central Time<!-- Open outcry trading hours; leave blank if none -->
+
|ooHours  =  Sunday - Friday 6:00 p.m. - 5:00 p.m. New York time/ET (5:00 p.m. - 4:00 p.m. Chicago Time/CT).  Monday - Thursday 5:00 p.m. - 6:00 p.m. New York Time/ET (4:00 p.m. - 5:00 p.m. Chicago Time/CT) daily maintenance period.<!-- Open outcry trading hours; leave blank if none -->
 
|ooLimit  =  <!-- Price limits on open outcry trading session; leave blank if none -->
 
|ooLimit  =  <!-- Price limits on open outcry trading session; leave blank if none -->
 
|ooSym    =  TY<!-- Ticker symbol for open outcry session; leave blank if none -->
 
|ooSym    =  TY<!-- Ticker symbol for open outcry session; leave blank if none -->
Line 34: Line 34:
 
|opTickPt  =  1/64 of a point (<!-- option tick size in points -->
 
|opTickPt  =  1/64 of a point (<!-- option tick size in points -->
 
|opTickVal =  $15.625/contract, rounded up to the nearest cent/contract. <!-- option tick size in currency -->
 
|opTickVal =  $15.625/contract, rounded up to the nearest cent/contract. <!-- option tick size in currency -->
|opExercise=  American <!-- Exercise style, American, European or leave blank if not relevant -->
+
|opExercise=  American-style. The buyer of an option may exercise the option on any business day prior to expiration by giving notice to CME Clearing by 6:00 p.m. Options that expire in-the-money after the close on the last trading day are automatically exercised, unless specific instructions are given to CME Clearing by 6:00 p.m. <!-- Exercise style, American, European or leave blank if not relevant -->
 
|opElect  = x <!-- Any value if electronic trading is used -->
 
|opElect  = x <!-- Any value if electronic trading is used -->
 
|opEHours  =  Sunday-Friday: 5:00 p.m. - 4:00 p.m. Central Time <!-- trading hours for electronic platform; leave blank if none -->
 
|opEHours  =  Sunday-Friday: 5:00 p.m. - 4:00 p.m. Central Time <!-- trading hours for electronic platform; leave blank if none -->
Line 48: Line 48:
  
 
== Resources ==
 
== Resources ==
 +
[http://www.cmegroup.com/confluence/display/EPICSANDBOX/Treasuries Treasury Settlement Procedures]
 +
 +
[http://www.cmegroup.com/rulebook/files/position-limits-cbot.xlsx CBOT Position Limits]
 +
 +
[http://www.cmegroup.com/rulebook/CBOT/V/19/19.pdf CBOT Chapter 19]
 +
 +
[[http://www.cmegroup.com/clearing/trading-practices/block-trades.html#cbotProducts Block Minimum Thresholds]
 +
 +
[http://www.cmegroup.com/rulebook/files/special-price-fluctuation-limits.xlsx Price Limits]
 +
 +
[http://www.cmegroup.com/clearing/trading-practices/all-or-none.html All Or None Minimums]
 +
 +
[http://www.cmegroup.com/tools-information/vendorSymbol.html Quote Vendor Symbols Listing]
  
 
[http://www.cmegroup.com/trading/interest-rates/us-treasury/10-year-us-treasury-note_contractSpecs_options.html CME Group 10-Year US Treasury Note Contract Specifications]
 
[http://www.cmegroup.com/trading/interest-rates/us-treasury/10-year-us-treasury-note_contractSpecs_options.html CME Group 10-Year US Treasury Note Contract Specifications]

Latest revision as of 17:04, 13 June 2018

CMEFutInst300.jpg


10-Year US Treasury Note futures
Exchange CME Group
Settlement Physically delivered
Contract Size One U.S. Treasury note having a face value at maturity of $100,000. U.S. Treasury notes with remaining term to maturity of at least six and one half 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 percent.
Pricing Unit Points ($1,000) and halves of 1/32 of a point. For example, 126-16 represents 126 16/32 and 126-165 represents 126 16.5/32. Par is on the basis of 100 points.
Tick Value Regular: 1 = $15.625
Contract Months First five consecutive contracts in the Mar, Jun, Sep and Dec quarterly cycle.
Last Trading Day Seventh business day preceding the last business day of the delivery month. Trading in expiring contracts closes at 12:01 p.m. on the last trading day.
Note: This contract is electronic ONLY -- no open outcry
  No Open Outcry Electronic
Trading Hours Sunday - Friday 6:00 p.m. - 5:00 p.m. New York time/ET (5:00 p.m. - 4:00 p.m. Chicago Time/CT). Monday - Thursday 5:00 p.m. - 6:00 p.m. New York Time/ET (4:00 p.m. - 5:00 p.m. Chicago Time/CT) daily maintenance period. N/A
Ticker Symbol TY ZN
Price Limits N/A N/A
 
10-Year US Treasury Note options
Trade Unit One 10-Year U.S. Treasury Note futures contract of a specified delivery month.
Point Value Need point value!
Tick Value $15.625/contract, rounded up to the nearest cent/contract. (1/64 of a point ()
Option Months The first three consecutive contract months (two serial expirations and one quarterly expiration) plus the next four months in the March, June, September, and December quarterly cycle.
Strike Prices Strike prices will be listed in increments of one-half of one point. The minimum strike price range will include the at-the-money strike price closest to the current futures price plus the next fifty consecutive higher and the next fifty consecutive lower strike prices.
Exercise Style American-style. The buyer of an option may exercise the option on any business day prior to expiration by giving notice to CME Clearing by 6:00 p.m. Options that expire in-the-money after the close on the last trading day are automatically exercised, unless specific instructions are given to CME Clearing by 6:00 p.m.
  No Open Outcry Electronic
Trading Hours Monday - Friday: 7:20 a.m. - 2:00 p.m. Sunday-Friday: 5:00 p.m. - 4:00 p.m. Central Time
Ticker Symbol Calls: TC Puts: TP OZN
Price Limits N/A N/A

Notes

Resources

Treasury Settlement Procedures

CBOT Position Limits

CBOT Chapter 19

[Block Minimum Thresholds

Price Limits

All Or None Minimums

Quote Vendor Symbols Listing

CME Group 10-Year US Treasury Note Contract Specifications