CME Group 10-Year US Treasury Note

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10-year U.S. Treasury Note Futures
Contract Unit Face value at maturity of $100,000
Price Quotation Points and fractions of points with par on the basis of 100 points
Trading Hours CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m.ET (5:00 p.m. - 4:00 p.m. CT). Monday - Thursday 5:00 p.m. - 6:00 p.m. ET (4:00 p.m. - 5:00 p.m. CT) daily maintenance period.
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with a 15-minute maintenance window. Monday - Thursday from 5:45 p.m. to 6:00 p.m. CT
Minimum Price Fluctuation Outrights: One-half of one thirty-second (1/32) of one point = $15.625

Spreads: One-quarter of one thirty-second (1/32) of one point = $7.8125"

Product Code CME Globex: ZN

CME ClearPort: 21

Clearing: 21

Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 consecutive quarters
Settlement Method Deliverable
Termination of Trading Trading terminates on the 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.
Settlement Procedures Treasury Settlement Procedures
Position Limits CBOT Position Limits
Exchange Rulebook CBOT Chapter 19
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
All or None Minimum All or None Minimums
Vendor Codes Quote Vendor Symbols Listing
Delivery Procedure Federal Reserve book-entry wire-transfer system.
Last Delivery Date Last business day of the delivery month.
Grade and Quality U.S. Treasury notes with a remaining term to maturity of at least six and a 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.
10-year U.S. Treasury Note Options
Contract Unit Face value at maturity of $100,000
Minimum Price Fluctuation 1/64 of a point = $15.625.

Variable CAB at $1.00 increments from $1.00 to $15.00

Price Quotation Points and fractions of points with par on the basis of 100 points
Trading Hours CME Globex: Sunday - Friday: 5:00 p.m. - 4:00 p.m. CT
Open Outcry: Monday - Friday: 7:20 a.m. - 2:00 p.m. CT
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Product Code CME Globex: OZN

CME ClearPort: 21

Open Outcry: Put: TP Call: TC

Clearing: 21

Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 quarters and 3 serial contracts

Serials exercise into the first nearby quarterly futures contract Quarterlies exercise into the corresponding quarterly futures contracts

Termination of Trading Trading terminates on the Friday before the 2nd last business day of the month prior to the contract month. If this is not a business day, trading terminates on the prior business day.
Position Limits CBOT Position Limits
Excahnge Rulebook CBOT 19A
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures Strike prices will be listed in increments of one-quarter of one point for the nearest monthly (serial or quarterly) expiration. The minimum strike price range will include the at-the-money strike price closest to the current futures price plus the next fifty (50) consecutive higher and the next fifty (50) consecutive lower strike prices. For all other months, 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.
Settlemnt Method Deliverable
Underlying 10-Year T-Note Futures

Notes

Also See

CME Group interest rate products

Resources

CME Group Web site

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