Difference between revisions of "CME Group 2-Year US Treasury Note"

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<!-- Fill in values in between the = and | symbols for the parameters below. -->
{| class="wikitable"
<!-- All comments like this one can be deleted... make sure you get the part at the line's end, too! -->
|-
{{Contract
! colspan="3" | CME Group 2-Year U.S. Treasury Notes Futures
|exch    = CME Group <!-- Exchange name or acronym-->
|-
|cname    = 2-Year US Treasury Note <!-- Contract name, like Feeder Cattle, 100 oz Gold, S&P 500 Index -->
| Contract Unit
|commod  = Interest Rate <!-- Simple name of the commodity, e.g. Cattle, Gold, Stock Market Index -->
| colspan="2" | Face value at maturity of $200,000
|ctype    = Financial <!-- Type of commodity, e.g. Agricultural, Financial, Weather, Emissions -->
|-
|settle  = P <!-- C for cash settled, B for both cash and physical, P or leave blank for physical -->
| Price Quotation
|months  = First five consecutive contracts in the Mar, Jun, Sep and Dec quarterly cycle. <!-- Contract months traded -->
| colspan="2" | Points and fractions of points with par on the basis of 100 points
|fnd      = <!-- Rules for determining First Notice Date, or blank if none -->
|-
|ltd      =  <!-- Rules for determining Last Trading Day -->
| rowspan="2" | Trading Hours
|unit    = One U.S. Treasury note having a face value at maturity of $200,000. U.S. Treasury notes with original term to maturity of not more than five years and three months and remaining term to maturity of not less than one year and nine months from the first day of the delivery month, and remaining term to maturity of not more than two years from the last 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 -->
| CME Globex:
|ptdesc  =  <!-- Description of one contract point, e.g. 0.0001 cents per pound -->
| SUN - FRI: 5:00 p.m. - 4:00 p.m.
|ptval    = Quoted in points ($2,000) and quarters of 1/32 of a point; for example, 91-16 represents 91 16/32, 91-162 represents 91 16.25/32, 91-165 represents 91 16.5/32 and 91-167 represents 91 16.75/32. <!-- Dollar (or other currency) value of a single contract point -->
|-
|tickPt  =  <!-- Number of points per trading tick, eg 2.5 -->
| CME ClearPort:
|tickVal  = Regular: 1/4 of 1/32 = $15.625 <!-- Dollar (or other currency) amount of trading tick -->
| 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
|elect    = Y <!-- Y if an electronic trading session exists; leave blank if none -->
|-
|elHours  = Sunday/Friday 5:30 p.m.-4:00 p.m. CT; Shutdown period from 4:00 p.m. to 5:00 p.m. nightly. <!-- Electronic trading hours; leave blank if none -->
| Minimum Price Fluctuation
|elLimit  =  <!-- Price limits on electronic trading session; leave blank if none -->
| colspan="2" | One-eighth of one thirty-second (1/32) of one point ($7.8125, rounded to the nearest cent per contract), including intermonth spreads.
|elSym    = ZT <!-- Ticker symbol for electronic platform; leave blank if none -->
|-
|outcry  =  <!-- Y if an open outcry session exists for trading; leave blank if electronic only -->
| Product Code
|ooHours  =  <!-- Open outcry trading hours; leave blank if none -->
| colspan="2" | CME Globex: ZT
|ooLimit  = <!-- Price limits on open outcry trading session; leave blank if none -->
CME ClearPort: 26
|ooSym    =  <!-- Ticker symbol for open outcry session; leave blank if none -->


<!-- The following section is for option data -- leave blank if options are not relevant -->
Clearing: 26
|oed      = <!-- Rules for determining Option Expiration Day -->
|-
|options  = <!-- Any value if option data is being provided -->
| Listed Contracts
|opUnit    = <!-- Trade unit -- leave blank unless it's something other than "One futures contract" -->
| colspan="2" | The first three consecutive contracts in the March, June, September, and December quarterly cycle.
|opMonths  = <!-- List of option months -->
|-
|opPtdesc  = <!-- description of point value, e.g 0.5 cents per bushel, dollars per ounce -->
| Settlement Method
|opPtval  = <!-- dollar (or other currency) value of one market point -->
| colspan="2" | Deliverable
|opTickPt  = <!-- option tick size in points -->
|-
|opTickVal =  <!-- option tick size in currency -->
| Termination of Trading
|opExercise= <!-- Exercise style, American, European or leave blank if not relevant -->
| colspan="2" | Last business day of the calendar month. Trading in expiring contracts closes at 12:01 p.m. on the last trading day.
|opElect  = <!-- Any value if electronic trading is used -->
|-
|opEHours  = <!-- trading hours for electronic platform; leave blank if none -->
| Settlement Procedures
|opELimit  = <!-- Daily price limit for electronic platform; leave blank if none -->
| colspan="2" | Treasury Settlement Procedures
|opESym    = <!-- Ticker symbol for electronic session -->
|-
|opOutcry  = <!-- Any value if open outcry is used -->
| Position Limits
|opOHours  = <!-- trading hours for open outcry session; leave blank if none -->
| colspan="2" | CBOT Position Limits
|opOLimit  = <!-- Daily price limit for open outcry session; leave blank if none -->
|-
|opOSym    = <!-- Ticker symbol for open outcry session -->
| Exchange Rulebook
|opStrike  = <!-- Strike price interval description -->
| colspan="2" | CBOT 21
}}
|-
| Block Minimum
| colspan="2" | Block Minimum Thresholds
|-
| Price Limit or Circuit
| colspan="2" | Price Limits
|-
| All or None Minimum
| colspan="2" | All or None Minimum
|-
| Vendor Codes
| colspan="2" | Quote Vendor Symbols Listing
|-
| Delivery Procedure
| colspan="2" | Federal Reserve book-entry wire-transfer system.
|-
| Last Delivery Date
| colspan="2" | Third business day following the last trading day.
|-
|Grade and Quality
| colspan="2" | U.S. Treasury notes with an original term to maturity of not more than five years and three months and a remaining term to maturity of not less than one year and nine months from the first day of the delivery month and a remaining term to maturity of not more than two years from the last 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.
|}
 
{| class="wikitable"
|-
! colspan="3" | CME Group 2-Year U.S. Treasury notes Options
|-
| Contract Unit
| colspan="2" | Face value at maturity of $200,000
|-
| Minimum Price Fluctuation
| colspan="2" | One-half of 1/64 of a point = $15.625.
Variable CAB at $1.00 increments from $1.00 to $15.00
|-
| Price Quotation
| colspan="2" | Points and fractions of points with par on the basis of 100 points
|-
| rowspan="3" | 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
| colspan="2" | CME Globex: OZT
CME ClearPort: 26
 
Open Outcry: Put: TUP Call: TUC
 
Clearing: 26
|-
| Listed Contracts
| colspan="2" | 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 futures contracts
|-
| Termination of Trading
| colspan="2" | 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
| colspan="2" | CBOT Position Limits
|-
| Excahnge Rulebook
| colspan="2" | CBOT 21A
|-
| Block Minimum
| colspan="2" | Block Minimum Thresholds
|-
| Price Limit or Circuit
| colspan="2" | Price Limits
|-
| Vendor Codes
| colspan="2" | Quote Vendor Symbols Listing
|-
| Strike Price Listing Procedures
| colspan="2" | Strike prices will be listed in increments of one-eighth 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 twenty (20) consecutive higher and the next twenty (20) consecutive lower strike prices.
|-
| Exercise Style
| colspan="2" | 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 5:30 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 5:30 p.m.
|-
| Settlemnt Method
| colspan="2" | Deliverable
|-
| Underlying
| colspan="2" | 2-Year T-Note Futures
|}
== Notes ==
== Notes ==
Other than American option, there is weekly option for 2-Year U.S. Treasury Note futures contract. For contract specification of the weekly option, please refer to [http://www.cmegroup.com/trading/interest-rates/us-treasury/2-year-us-treasury-note_contractSpecs_options.html#optionProductId=6091 weekly option specification for 2-Year Treasury Note futures contract]
(*)Last Trading Day: 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 2-Year Treasury Note futures contract.
== Also See ==
[[CME Group interest rate products]]


== Resources ==
== Resources ==
[http://www.cmegroup.com/trading/interest-rates/us-treasury/2-year-us-treasury-note_contract_specifications.html?optionProductId=6091 CME Group 2-Year U.S. Treasury Notes Contract Specification]
[[Category:CME Group]]
[http://www.cmegroup.com/trading/interest-rates/us-treasury/2-year-us-treasury-note_FO.html CME Group 2-Year US Treasury Note Contract Specifications]


[http://www.cmegroup.com/trading/interest-rates/us-treasury/2-year-us-treasury-note_FO.html CME Group 2-Year US Treasury Note Contract Specifications]
[[Category:Sponsored Pages]]
[[Category:Sponsored Pages - CME]]
[[Category:Reserved Pages]]
[[Category:Reserved Pages - CME]]
[[Category:2-Year T-notes Futures Contracts]]
[[Category:Futures Contracts Traded on CME Group]]
[[Category:Interest Rate Futures Contracts]]
[[Category:2-year T-notes Options]]
[[Category:Options Traded on CME Group]]
[[Category:Interest Rate Options]]
[[Category:Futures Data in Template]]
[[Category:CME Group]]

Revision as of 19:21, 11 January 2021


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CME Group 2-Year U.S. Treasury Notes Futures
Contract Unit Face value at maturity of $200,000
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 from 5:45 p.m. – 6:00 p.m. CT
Minimum Price Fluctuation One-eighth of one thirty-second (1/32) of one point ($7.8125, rounded to the nearest cent per contract), including intermonth spreads.
Product Code CME Globex: ZT

CME ClearPort: 26

Clearing: 26

Listed Contracts The first three consecutive contracts in the March, June, September, and December quarterly cycle.
Settlement Method Deliverable
Termination of Trading Last business day of the calendar 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 21
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 Third business day following the last trading day.
Grade and Quality U.S. Treasury notes with an original term to maturity of not more than five years and three months and a remaining term to maturity of not less than one year and nine months from the first day of the delivery month and a remaining term to maturity of not more than two years from the last 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.
CME Group 2-Year U.S. Treasury notes Options
Contract Unit Face value at maturity of $200,000
Minimum Price Fluctuation One-half of 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: OZT

CME ClearPort: 26

Open Outcry: Put: TUP Call: TUC

Clearing: 26

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 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 21A
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-eighth 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 twenty (20) consecutive higher and the next twenty (20) 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 5:30 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 5:30 p.m.
Settlemnt Method Deliverable
Underlying 2-Year T-Note Futures

Notes[edit]

Other than American option, there is weekly option for 2-Year U.S. Treasury Note futures contract. For contract specification of the weekly option, please refer to weekly option specification for 2-Year Treasury Note futures contract

(*)Last Trading Day: 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 2-Year Treasury Note futures contract.

Also See[edit]

CME Group interest rate products


Resources[edit]

CME Group 2-Year U.S. Treasury Notes Contract Specification CME Group 2-Year US Treasury Note Contract Specifications