CME Group 30-Year U.S. Treasury bonds

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30-year U.S. Treasury bond 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: SUN - FRI: 5:00 p.m. - 4:00 p.m.
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday 5:45 p.m. – 6:00 p.m. CT
Minimum Price Fluctuation 1/32 of a point = $31.25

Calendar spreads: one-quarter of 1/32 of a point = $7.8125"

Product Code CME Globex: ZB

CME ClearPort: 17

Clearing: 17

Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 quarters
Settlement Method Deliverable
Termination of Trading Trading terminates at 12:01 p.m. CT on the 7th business day prior to the last business day of the contract month.
Settlement Procedures Treasury Settlement Procedures
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 18
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
All or None Minimum All or None Minimum
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 bonds that have remaining term to maturity of at least 15 years and less than 25 years from the first day of the futures delivery month.* The delivery invoice amount 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.
  • For more information, please refer to T-Bond Basket Gap Decision."
30-year U.S. Treasury bond Options
Minimum Price Fluctuation 1/64th of a point ($15.625)
Trading Hours CME Globex: Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT
Open Outcry: MON - FRI: 7:20 a.m. - 2:00 p.m.
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: ZB1,ZB2,ZB3,ZB4,ZB5

CME ClearPort: US1,US2,US3,US4,US5

Open Outcry: US1,US2,US3,US4,US5

Clearing: US1,US2,US3,US4,US5

Listed Contracts First 24 calendar months.
Termination of Trading Default: Week 1 - 1st Friday of the month

Week 2 - 2nd Friday of the month Week 3 - 3rd Friday of the month Week 4 - 4th Friday of the month Week 5 - 5th Friday of the month

Unexercised options shall expire at 7:00 p.m. CT on the last trading day

Mid-Curve: A given Friday that is not also the last trading day of a monthly serial or quarterly Treasury option. If such a Friday is the last trading day of a monthly serial or quarterly Treasury option, there will be no Weekly Treasury option listed for trading for that expiration date.
Position Limits CBOT Position Limits
Exchange Rulebook CBOT Chapter 18A
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-half of one point for all weekly expirations. The minimum strike price range will include the at-the-money strike price closest to the current futures price plus the next forty (40) consecutive higher and the next forty (40) 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., CT. Options that expire in-the-money on the last trading day are automatically exercised, unless specific instructions are given to CME Clearing.
Settlement Method Deliverable
Underlying U.S. Treasury Bond Futures

Notes

Also See

References


Resources

CME Group Web site

U.S. Treasury Bond Contract Specs