About U.S. Treasury Futures and Options

Overview

U.S. Treasury futures and options provide a wide variety of market participants around the globe with the ability to adjust their interest rate exposure. Futures and options on Treasury Bonds and Notes are key tools for those who wish to manage their interest rate risk, as well as those who wish to take advantage of price volatility.

In 2010, Long-Term “Ultra” T-Bond futures and options were added to the Treasury complex. These new contracts aid hedgers, speculators and relative value investors who wish to manage the interest rate risks of longer duration market positions.

Among the most liquid products in the world, U.S. Treasury futures and options lend themselves to a variety of risk management and trading applications, including hedging, income enhancement, duration adjustments, interest rate speculation and spread trades. The availability of U.S. Treasury futures and options on CME Globex further enhances the efficiency of trading these products, providing nearly 24-hour access for users around the world.

The addition of Weekly Treasury Options (WTOs) provides even more opportunities for market participants, allowing flexibility in managing existing option positions, targeted trading based on market movement, and the ability to trade high impact economic events. Learn more at cmegroup.com/wto.

Block trading is available for U.S. Treasury futures and options Visit cmegroup.com/blocks for more information, including minimum thresholds and reporting time requirements. In addition, pre-defined, implied intercommodity spreads between the various Treasury futures including OTR Treasury futures, and between Treasury and Interest Rate Swaps futures, are available on CME Globex. For more information, including current spread ratios, visit cmegroup.com/ics.

 

Treasury Note Specifications

  2-Year Treasury Note Futures 3-Year Treasury Note Futures
Contract Size One U.S. Treasury note having a face value at maturity of $200,000
Deliverable Grades Treasury notes with original term to maturity of not more than 5 years 3 months from the first day of the delivery month, remaining term to maturity of at least 1 year 9 months from the first day of the delivery month, and remaining term to maturity of not more than 2 years from the last day of the delivery month. Treasury notes with original term to maturity of not more than 5 years 3 months from the first day of the delivery month, remaining term to maturity of at least 2 years 9 months from the first day of the delivery month, and remaining term to maturity of not more than 3 years from the last day of the delivery month
  Price Quote Points ($2,000) and quarters of 1/32 of a point. For example, 109-16 represents 109 16/32, 109-162 represents 109 16.25/32, 109-165 represents 109 16.5/32 and 109-167 represents 109 16.75/32.
Tick Size The minimum price fluctuation shall be 1/4 of 1/32 ($15.625) rounded up to the nearest cent per contract). Par shall be on the basis of100 points.
Contract Months The first three consecutive contracts in the March, June, September and December quarterly cycle
Last Trading Day The last business day of the contract expiry month
Last Delivery Day Third business day following the last trading day
Delivery Method Federal Reserve book-entry wire-transfer system
Trading Hours CME Globex: 5:00 p.m. – 4:00 p.m. CT, Sunday – Friday
Trading in expiring contracts closes at 12:01 p.m. CT on the last trading day.
Ticker Symbols CME Globex: ZT
Clearing: 26
CME Globex: Z3N
Clearing: 3YR

 

  2-Year Treasury Note Options
Contract Size One 2-Year Treasury Note futures contract of a specified delivery month
Tick Size One-half of 1/64 of a point ($15.625) rounded up to the nearest cent per contract)
Strike Prices Strike prices will be listed in increments of one-eighth of one point.
Contract Listings
  • At least 2 consecutive contract months in the March, June, September, December quarterly cycle.
  • 3 consecutive contract months in the non- quarterly cycle (serial months).
  • Weekly options: Weeks 1-5, corresponds to the Fridays of each month where there is not a serial or quarterly expiration.
Quarterlies will exercise into futures contracts of the same delivery period as such options named month of expiration. Serial options will exercise into futures contracts for delivery in the March quarterly cycle month next following such option’s named month of expirations. Weekly options will exercise into futures contracts for delivery in a March quarterly cycle month following such options date of expiration as designated by the Exchange when such weekly option is listed for trading.
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.
Weekly options: A given Friday that is not also the last trading day of a quarterly or serial option.
  Exercise American-style. The buyer of a futures 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 are automatically exercised into a position, unless specific instructions are given to CME Clearing.
Expiration Unexercised options shall expire at 7:00 p.m. CT on the last day of trading
    Trading Hours Open Outcry: 7:20 a.m. – 2:00 p.m. CT, Monday – Friday
CME Globex: 5:00 p.m. – 4:00 p.m. CT, Sunday – Friday
Trading in expiring options ceases at the close of the regular CME Globex trading session for the corresponding 2-Year Treasury Note futures contracts.
Ticker Symbols Open Outcry Calls/Puts: TUC/TUP
Weekly Options: TW1-5
CME Globex: OZT
Weekly Options: ZT1-5
Clearing: 26/ Weekly Options TW1-5

 

Treasury Note Futures Specifications

  5-Year Treasury Note Futures 10-Year Treasury Note Futures Ultra 10-Year Note Futures
Contract Size One U.S. Treasury note having a face value at maturity of $100,000
Deliverable Grades Treasury notes with original term to maturity of not more than 5 years 3 months, and remaining term to maturity of not less than 4 years 2 months, from the first day of the delivery month. Treasury notes with remaining term to maturity of at least 6 years 6 months, but not more than 10 years, from the first day of the delivery month. Treasury notes with remaining term to maturity of at least 9 years 5 months, but not more than 10 years, from the first day of the delivery month.
      Price Quote Points ($1,000) and quarters of 1/32 of a point. For example, 119- 16 represents 119 16/32, 119-162 represents 119 16.25/32, 119- 165 represents 119 16.5/32 and 119-167 represents 119 16.75/32. 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. Points ($1,000) and halves of 1/32 of a point. For example, 140-16 represents 140 16/32 and 140-165 represents 140 16.5/32.
Tick Size The minimum price fluctuation shall be one-quarter of one thirty-second (1/32) of one point ($7.8125 rounded up to the nearest cent per contract) including intermonth spreads. Par shall be on the basis of 100 points. The minimum price fluctuation shall be one-half of one thirty-second (1/32) of one point ($15.625 rounded up to the nearest cent per contract) except for intermonth spreads, where the minimum price fluctuation shall  be one-quarter of one thirty-second of one point ($7.8125 rounded up to the nearest cent per contract). Par shall be on the basis of 100 points. The minimum price fluctuation shall be one-half of one thirty-second (1/32) of one point ($15.625 rounded up to the nearest cent per contract) except for intermonth spreads, where the minimum price fluctuation shall be one-quarter of one thirty-second of one point ($7.8125 rounded up to the nearest cent per contract). Par shall be on the basis of 100 points.
Contract Months The first three consecutive contracts in the March, June, September and December quarterly cycle
  Last Trading Day The last business day of the contract expiry month Seventh business day preceding the last business day of the delivery month Last business day of the delivery month
Last Delivery Day Third business day following the last trading day Last business day of the delivery month Seventh business day preceding the last business day of the delivery month
Delivery Method Federal Reserve book-entry wire-transfer system
Trading Hours CME Globex: 5:00 p.m. – 4:00 p.m. CT, Sunday – Friday
Trading in expiring contracts closes at 12:01 p.m. CT on the last trading day.
Ticker Symbols CME Globex: ZF
Clearing: 25
CME Globex: ZN
Clearing: 21
CME Globex: TN
Clearing: TN

 

Treasury Note Options Specifications

  5-Year Treasury Note Options 10-Year Treasury Note Options Ultra 10-Year Note Options
  Contract Size One 5-Year Treasury Note futures contract of a specified delivery month One 10-Year Treasury Note futures contract of a specified delivery month One Ultra 10-Year Treasury Note futures contract of a specified delivery month
Tick Size One-half of 1/64 of a point ($7.8125 rounded up to the nearest cent per contract) 1/64 of a point ($15.625 rounded up to the nearest cent per contract) 1/64 of a point ($15.625 rounded up to the nearest cent per contract)
Strike Price Interval Strike prices will be listed in increments of one-quarter of one point. Weeklies and Front month Serial or Quarterly Expirations: Strike Prices will be listed in increments of one- quarter of one point. All other Expirations: Strike prices will be listed in increments of one-half of one point. Weeklies and Front month Serial or Quarterly Expirations: Strike Prices will be listed in increments of one- quarter of one point. All other Expirations: Strike prices will be listed in increments of one- half of one point.
Contract Listings
  • At least 2 consecutive contract months in the March, June, September, December quarterly cycle.
  • 3 consecutive contract months in the non- quarterly cycle (serial months).
  • Weekly options: Weeks 1-5, corresponds to the Fridays of each month where there is not a serial or quarterly expiration.
Quarterlies will exercise into futures contracts of the same delivery period as such options named month of expiration. Serial options will exercise into futures contracts for delivery in the March quarterly cycle month next following such option’s named month of expirations. Weekly options will exercise into futures contracts for delivery in a March quarterly cycle month following such options date of expiration as designated by the Exchange when such weekly option is listed for trading.
  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. Weekly options: A given Friday that is not also the last trading day of a quarterly or serial option.
Exercise American-style. The buyer of a futures 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 are automatically exercised into a position, unless specific instructions are given to CME Clearing.
Expiration Unexercised options shall expire at 7:00 p.m. CT on the last day of trading
Trading Hours Open Outcry: 7:20 a.m. – 2:00 p.m. CT, Monday – Friday
CME Globex: 5:00 p.m. – 4:00 p.m. CT, Sunday – Friday
Trading in expiring options ceases at the close of the regular CME Globex trading session for the corresponding Treasury Note Futures contracts.
Ticker Symbols Open Outcry Calls/Puts: FL /FP
Weekly Options: FV1-5
CME Globex: OZF
Weekly Options: ZF1-5
Clearing 25/Weekly Options: FV 1-5
Open Outcry Calls/Puts: TC/ TP
Weekly Options: TY1-5
CME Globex: OZN
Weekly Options: ZN1-5
Clearing 21/Weekly Options: TY1-5
Open Outcry: OTN
Weekly Options: TN 1-5
CME Globex: OTN
Weekly Options: TN1-5
Clearing TN/Weekly Options: TN1-5

 

Treasury Bond Futures Specifications

  Treasury Bond Futures Ultra Treasury Bond Futures
Contract Size One U.S. Treasury bond having a face value at maturity of $100,000
Deliverable Grades Treasury bonds with remaining term to maturity of at least 15 years but less than 25 years from the first day of the delivery month. Treasury bonds with remaining term to maturity of at least 25 years from the first day of the delivery month
Price Quote Points ($1,000) and 1/32 of a point. For example, 175-16 represents 175 16/32.
Tick Size The minimum price fluctuation shall be one thirty-second (1/32) of one point ($31.25) except for intermonth spreads, where the Minimum price fluctuation shall be one-quarter of one thirty-second point of one point ($7.8125 per contract). Par shall be on the Basis of 100 points.
Contract Months The first three consecutive contracts in the March, June, September and December quarterly cycle
Last Trading Day Seventh business day preceding the last business day of the delivery month
Last Delivery Day Last business day of the delivery month
Delivery Method Federal Reserve book-entry wire-transfer system
Trading Hours CME Globex: 5:00 p.m. – 4:00 p.m. CT, Sunday – Friday
Trading in expiring contracts closes at 12:01 p.m. CT on the last trading day.
Ticker Symbols CME Globex: ZB
Clearing: 17
Globex: UB
Clearing: UBE

 

Treasury Bond Options Specifications

  T-Bond Options Ultra T-Bond Options
  Contract Size One Treasury Bond futures contract of a specified delivery month One Ultra Treasury Bond futures contract of a specified delivery month
Tick Size 1/64 of a point ($15.625 rounded up to the nearest cent per contract)
  Strike Price Interval Weeklies and Front month Serial or Quarterly Expirations: Strike Prices will be listed in increments of one- half of one point. All other Expirations: Strike prices will be listed in increments of one point.
Contract Listings At least 2 consecutive contract months in the March, June, September, December quarterly cycle. Plus 3 consecutive contract months in the non- quarterly cycle. (Serial months). Plus CME Globex: Weeks 1-5, corresponds to the Fridays of each month where there is not a serial or quarterly expiration. Quarterlies will exercise into futures contracts of the same delivery period as such options named month of expiration. Serial options will exercise into futures contracts for delivery in the March quarterly cycle month next following such option’s named month of expirations. CME Globex will exercise into futures contracts for delivery in a March quarterly cycle month following such options date of expiration as designated by the Exchange when such weekly option is listed for trading.
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. CME Globex: A given Friday that is not also the last trading day of a quarterly or serial option.
  Exercise American-style. The buyer of a futures 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 are automatically exercised into a position, unless specific instructions are given to CME Clearing.
Expiration Unexercised options shall expire at 7:00 p.m. CT on the last day of trading
    Trading Hours Open Outcry: 7:20 a.m. – 2:00 p.m. CT, Monday – Friday
CME Globex: 5:00 p.m. – 4:00 p.m. CT, Sunday – Friday Trading in expiring T-Bond and Ultra T-Bond options ceases at the close of the regular CME Globex trading session for the corresponding futures contracts
Ticker Symbols Open Outcry Calls/Puts: CG/ PG Weekly Options: US1-5
CME Globex: OZB
Weekly Options: ZB1-5
Clearing: 17/Weekly Options: US 1-5
Open Outcry: OUL Weekly Options: UL1-5
CME Globex: OUB Weekly Options: UB1-5
Clearing: UBE/CME Globex: UL 1-5

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