U.S. Treasury yields have been very volatile recently. This has caused some large daily moves in Micro Treasury Yield futures, particularly around FOMC decisions and the release of key macroeconomic data.

Traders often compare the average daily range of prices with the bid-ask spread to get a sense of the magnitude of daily price action relative to the cost of trading.

10-year Micro Treasury Yield futures (10Y) have seen substantial daily price action recently, particularly on key days. From the beginning of September 2022 to the end of February 2023, the average 10Y daily range was over 20 basis points (bps) on consumer price index (CPI) release days, around 14 bps on employment situation (non-farm payroll) release days, and 13 bps on days when the FOMC announced a monetary policy decision.

Surprises surrounding some CPI and employment situation releases have contributed to this price action. By comparison, all other days saw an average daily range of around 11 bps for 10Y.

The bid-ask spread is a widely used measure of transaction cost. Hypothetically, if a trader bought one contract at the ask and immediately sold it at the bid, the cost of trading would be equal to the bid-ask spread. While a trader would not buy at the ask only to sell immediately at the bid, this example demonstrates how the bid-ask spread can be thought of as a measure of transaction cost.

Over February 2023, the average bid-ask spread at the top of book (TOB) was 0.32 bps (the minimum price increment is 0.1 bps). Given the constant $10 DV01 for these products, this is equivalent to a transaction cost of $3.20.

The ratio of the average daily range to the bid-ask spread for the 10Y is shown in the table below. For example, CPI days have seen yield moves that are more than 63 times the bid-ask spread on average. This is indicative of the magnitude of profit that a trader could generate by trading Micro Treasury Yield futures on key days.

Type of day

Average 10Y daily range (bps)

Average 10Y TOB bid-ask spread (bps)

Daily range/ bid-ask spread


Sep 2022 - Feb 2023

Feb 2023






Employment situation






All other days



The current interest rate environment presents many opportunities to trade Micro Treasury Yield futures, as explored in this recent article. The CME FedWatch Tool also can be used by traders to assess the path of the Federal Funds rate (which has significant influence on Treasury yields) and form a view on movements in Micro Treasury Yield futures around FOMC meetings. For key dates, see:

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