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5-Year T-Note 保證金

交易所 資產類別 Spread Products Ratio Side 開始時間 期末 Credit
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 80%
N1U - 10-YEAR USD MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 06/2018 09/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 12/2017 03/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 06/2017 09/2017
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 12/2016 03/2017
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 06/2016 09/2016
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 12/2015 03/2016
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 06/2015 09/2015
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 B 06/2014 09/2014
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 9 B All dates 80%
LIW - 5-YEAR ERIS SWAP FUTURES 10 A 12/2017 03/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 09/2020 06/2021
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 09/2020 06/2021
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 9 B All dates 75%
LIW - 5-YEAR ERIS SWAP FUTURES 10 A 06/2017 09/2017
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 09/2021 06/2022
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 09/2023 03/2029
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 09/2022 06/2023
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME ED - EURODOLLAR FUTURES 2 A 12/2023 09/2024
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME ED - EURODOLLAR FUTURES 2 A 12/2022 09/2023
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME ED - EURODOLLAR FUTURES 2 A 12/2026 09/2027
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME ED - EURODOLLAR FUTURES 2 A 12/2028 09/2029
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME ED - EURODOLLAR FUTURES 2 A 12/2025 09/2026
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME ED - EURODOLLAR FUTURES 2 A 12/2024 09/2025
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME ED - EURODOLLAR FUTURES 2 A 12/2027 09/2028
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 5 B All dates 73%
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 2 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 20 A All dates 70%
UBE - LONG TERM U.S. TREASURY BOND FUTURE 3 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LIL - 15-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 6 B All dates 70%
S1U - 7-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 8 A All dates 70%
LIB - 7-YEAR ERIS SWAP FUTURES 7 B 03/2019 06/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 3 B 09/2019 06/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 3 B 03/2019 06/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 3 B 09/2018 12/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 3 B 03/2018 06/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 70%
CME ED - EURODOLLAR FUTURES 2 A 12/2020 09/2021
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 70%
CME ED - EURODOLLAR FUTURES 2 A 12/2021 09/2022
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 B All dates 70%
LIT - 2-YEAR ERIS SWAP FUTURE 5 A 12/2019 06/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 03/2020 06/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 03/2020 06/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 9 B All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 10 A 12/2016 03/2017
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 3 B 09/2017 12/2017
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 70%
CME ED - EURODOLLAR FUTURES 2 A 02/2020 09/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 9 B All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 10 A 06/2016 09/2016
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 3 B 03/2017 06/2017
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 8 A All dates 70%
LIB - 7-YEAR ERIS SWAP FUTURES 7 B 12/2013 12/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 9 A All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 10 B 12/2015 03/2016
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 3 B 09/2016 12/2016
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 3 B 03/2016 06/2016
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 66%
25 - 5 YR TREASURY NOTE FUTURES 5 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 65%
B1U - 30-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 65%
LIE - 30-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 5 A All dates 65%
LIO - 20-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 5 B 06/2020 06/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 4 A All dates 60%
I3 - 30Y INTEREST RATE SWAP FUTU 1 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 60%
41 - 30 DAY FED FUND FUTURES 3 B 10/2020 09/2022
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 60%
T1U - 2-YEAR USD MAC SWAP FUTURES 5 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 60%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 12/2019 12/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 6 B All dates 55%
E1U - 20-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 55%
41 - 30 DAY FED FUND FUTURES 3 B 05/2020 09/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 55%
41 - 30 DAY FED FUND FUTURES 3 B 05/2020 09/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 40 A All dates 50%
CME EQUITY INDEX SP - S&P 500 FUTURES 1 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 8 A All dates 50%
CME EQUITY INDEX TRF - BTIC ON S&P 500 TOTAL RETURN INDEX 1 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 9 B All dates 90%
LIW - 5-YEAR ERIS SWAP FUTURES 10 A 06/2020 06/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 90%
F1U - 5-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 9 B All dates 90%
LIW - 5-YEAR ERIS SWAP FUTURES 10 A 12/2019 03/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 9 B All dates 90%
LIW - 5-YEAR ERIS SWAP FUTURES 10 A 06/2019 09/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 A All dates 90%
NG - 5-YR INTEREST RATE SWAP FUTURES 1 B All dates
CBT EQUITY INDEX YM - E-MINI DOW ($5) FUTURES Delta 1 A All dates 50%
INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES 5 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 9 B All dates 90%
LIW - 5-YEAR ERIS SWAP FUTURES 10 A 12/2018 03/2019
CMX METALS CX-GC - COMEX 100 GOLD FUTURES Delta 1 B All dates 50%
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES 6 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 B 12/2019 03/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 06/2019 09/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 12/2018 03/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 06/2018 09/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 50%
LIT - 2-YEAR ERIS SWAP FUTURE 5 B 06/2019 09/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 09/2019 09/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 12/2017 03/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 B All dates 50%
LIT - 2-YEAR ERIS SWAP FUTURE 5 A 12/2018 03/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 45%
CME ED - EURODOLLAR FUTURES 2 A 11/2019 01/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 35%
41 - 30 DAY FED FUND FUTURES 2 B 02/2020 04/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 35%
41 - 30 DAY FED FUND FUTURES 2 B 02/2020 04/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 02/2020 10/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 02/2020 10/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 01/2020 01/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 12/2019 12/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 11/2019 11/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 35%
41 - 30 DAY FED FUND FUTURES 2 B 12/2019 01/2020
CME EQUITY INDEX NQ - E-MINI NASDAQ 100 FUTURES Delta 1 A All dates 30%
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES 6 A All dates
CME FX JY - JAPANESE YEN FUTURES Delta 1 A All dates 30%
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES 1 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 A All dates 30%
CME EM - ONE MONTH EURODOLLAR FUTURES 2 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Scan 5 All dates 68%
21 - 10Y TREASURY NOTE FUTURES 12 All dates
25 - 5 YR TREASURY NOTE FUTURES 18 All dates
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 8 All dates
UBE - LONG TERM U.S. TREASURY BOND FUTURE 3 All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 85%
LIY - 10-YEAR ERIS SWAP FUTURES 2 B 12/2019 06/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 9 B All dates 85%
LIW - 5-YEAR ERIS SWAP FUTURES 10 A 06/2018 09/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 B All dates 83%
25 - 5 YR TREASURY NOTE FUTURES 5 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 5 A All dates 83%
26 - 2 YEAR TREASURY NOTE FUTURES 6 B All dates

5年期美國國債期貨

CBOT美國國庫債券期貨具有充足的流動性,可全天候被在多個方面作為有效的工具:對沖利率風險、提升潛在收益、調整投資組合久期、對利率進行投機以及進行價差交易。

合約追蹤美國政府發行和支持、進行債務融資的美國國庫債券以及固定收益證券的可交割籃子(截至2017年3月底,未償還可銷售債券金額達14萬億美元)。

在美國收益率曲線提供的多重到期時間點的合約中,5年和10年期國庫債券(長期國債)期貨的交投最為熱絡。

交易5年期國庫債券期貨的優勢

  •      充足的流動性
  •      買賣價差緊有助於在建立╱退出部位時,減少一部分的交易成本
  •      流動性的多重獲取方式,例如通過中央限價訂單簿、大宗交易和EFRP等
  •      利用利率合約和標準普爾500指數以及黃金的基準期貨,獲得保證金對消節省
  •      控制龐大的名義價值合約僅需相對較小的資金量