Treasury Options for Fixed Income Asset Managers

Potential for Managing the Risks Associated with a Treasury Security Investment Portfolio

Fixed income asset managers have many strategic alternatives available to them including the use of spot, futures and option markets in their pursuit of investment value (or “alpha”) relative to market benchmarks. CME Group offers 2-year, 3-year, 5-year and 10-year Treasury note futures; as well as “classic” and “Ultra” T-bond futures.

In addition to these highly successful futures contracts, CME Group offers options exercisable for these futures contracts. Similar to the underlying futures, these option contracts offer a high degree of liquidity, transparency, price discovery and are accessible through the CME Globex® electronic trading platform.

This report is intended to provide a review of the fundamentals of CME Group Treasury options; and, a discussion of the ways in which these options may be utilized to manage the risks associated with a Treasury security investment portfolio.

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