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Treasury Futures Empirical Duration Tool

This tool is built in HTML 5, which performs best in Firefox, Chrome, or Internet Explorer 9. Please click here to access the Flash-based tool if you:
  • Are using Internet Explorer version 8 or below, or
  • Wish to view DELIVERABLE SWAP FUTURES related information, currently available only in the Flash-based tool

We are experiencing technical issues with the below tool where the most recent data is not reflected. We are working on a fix to get this resolved as soon as possible.

Using the Empirical Duration Tool

U.S. Treasury futures trade in price, but it is often useful to consider strategies in terms of yield changes, taking into account the price sensitivity of the underlying security. This Empirical Duration Tool provides a convenient way to estimate a Treasury futures price for a given change in yield. It answers the question, "If the yield were to move by X basis points, what will happen to the Treasury futures price?" This information is especially useful in developing options strategies, for example, in determining which strike price to choose, assuming the yield move by a given amount.

Learn more about using empirical duration to measure the price sensitivity of Treasury futures

Empirical Duration Tool Terms
DV01: Dollar value of a one basis point change in yield in the current Cheapest-to-Deliver (CTD) security

Tail: Percentage difference between the front and deferred contracts

Settle Price: Previous day’s settlement price

Current CTD Yield: Yield of the current CTD security

Model CTD Yield Change: Yield change of the current CTD security, expressed in basis points (user input)

Futures Price: Hypothetical futures price generated by the inputs

 
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