Difference between revisions of "CME Group 5-Year U.S. Treasury notes"

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|elSym    =  ZF
 
|elSym    =  ZF
 
|outcry  = y
 
|outcry  = y
|ooHours  =  7:20 am - 2:00 pm, Central Time, Monday - Friday
+
|ooHours  =  N/A
 
|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    =  FV
+
|ooSym    =  N/A
  
 
<!-- The following section is for option data -- leave blank if options are not relevant -->
 
<!-- The following section is for option data -- leave blank if options are not relevant -->
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|options  =  x
 
|options  =  x
 
|opUnit    =   
 
|opUnit    =   
|opMonths  =  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). There will 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.
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|opMonths  =  At least 4 consecutive contract months (3 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 exercise into the first nearby quarterly futures contract. Quarterlies exercise into futures contracts of the same delivery period.
 
|opPtdesc  =  <!-- description of point value, e.g 0.5 cents per bushel, dollars per ounce -->
 
|opPtdesc  =  <!-- description of point value, e.g 0.5 cents per bushel, dollars per ounce -->
 
|opPtval  =  <!-- dollar (or other currency) value of one market point -->
 
|opPtval  =  <!-- dollar (or other currency) value of one market point -->
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[http://www.cmegroup.com/trading/interest-rates/us-treasury/5-year-us-treasury-note_contractSpecs_options.html?optid=329 5 Year US Treasury Note Contract Specification]
 
[http://www.cmegroup.com/trading/interest-rates/us-treasury/5-year-us-treasury-note_contractSpecs_options.html?optid=329 5 Year US Treasury Note Contract Specification]
  
 +
[https://www.cmegroup.com/confluence/display/EPICSANDBOX/Treasuries Treasury Settlement Procedures]
 +
 +
[http://www.cmegroup.com/rulebook/files/position-limits-cbot.xlsx CBOT Position Limits]
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[http://www.cmegroup.com/content/dam/cmegroup/rulebook/CBOT/V/20/20.pdf CBOT 20]
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[http://www.cmegroup.com/clearing/trading-practices/block-trades.html#cbotProducts Block Minimum Thresholds]
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[http://www.cmegroup.com/rulebook/files/special-price-fluctuation-limits.xlsx Price Limits]
 +
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[http://www.cmegroup.com/clearing/trading-practices/all-or-none.html All or None Minimums]
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[http://www.cmegroup.com/tools-information/vendorSymbol.html Quote Vendor symbols listing]
 
==References==
 
==References==
 
<References />
 
<References />
  
 
[[Category:CME Group]]
 
[[Category:CME Group]]

Latest revision as of 16:45, 13 June 2018

CMEFutInst300.jpg


5-Year U.S. Treasury note futures
Exchange CME Group
Settlement Cash settled
Contract Size One U.S. Treasury note having a face value at maturity of $100,000; Deliverable Grade -- U.S. Treasury notes that have an original maturity of not more than 5 years and 3 months and a remaining maturity of not less than 4 years and 2 months as of 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 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 one thirty-second (1/32) point per 100 points -- $15.625 rounded up to the nearest cent per contract (on March 3, 2008, minimum tick will be halved to one-quarter of 1/32nd or $7.8125[1]). See CME Group for minimum tick for intermonth spreads. Par shall be on the basis of 100 points.
Contract Months Mar, Jun, Sep, Dec
Last Trading Day Last business day of the calendar month. Trading in expiring contracts closes at 12:01 p.m. on the last trading day.
  Open Outcry Electronic
Trading Hours N/A 5:00 p.m. - 4:00 p.m. Central Time, Sunday-Friday

Trading in expiring contracts closes at noon, Central Standard Time, on the last trading day

Ticker Symbol N/A ZF
Price Limits N/A N/A
 
5-Year U.S. Treasury note options
Trade Unit One futures contract
Point Value Need point value!
Tick Value 1/64 of a point ($15.625/contract) rounded up to the nearest cent/contract (on March 3, 2008, minimum tick will be halved to one-half of 1/64th or $7.8125[2]). See CME Group for minimum tick for intermonth spreads.
Option Months At least 4 consecutive contract months (3 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 exercise into the first nearby quarterly futures contract. Quarterlies exercise into futures contracts of the same delivery period.
Strike Prices One-half point ($500/contract) to bracket the current 5-Year T-note futures price, e.g., if 5-year T-note futures are at 94-00, strike prices may be set at 92.5, 93, 93.5, 94, 94.5, 95, 95.5, 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 a.m. - 2:00 p.m. Central Time, Monday - Friday 5:00 pm - 4:00 pm, Central Time, Sunday - Friday; trading in expiring contracts closes at the same time as the underlying futures contract (2:00 pm, Central Time) on the last trading day(*)
Ticker Symbol FL for calls, FP for puts OZF
Price Limits N/A N/A

Notes

(*)Last Trading Day for options: 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 5-Year Treasury Note futures contract.

Also See

CME Group interest rate products


Resources

5 Year US Treasury Note Contract Specification

Treasury Settlement Procedures

CBOT Position Limits

CBOT 20

Block Minimum Thresholds

Price Limits

All or None Minimums

Quote Vendor symbols listing

References

  1. "CME Group Delivers Merger Benefits to the Market Through Upcoming Technology Upgrades and Product Enhancements”. CME Group.
  2. "CME Group Delivers Merger Benefits to the Market Through Upcoming Technology Upgrades and Product Enhancements”. CME Group.