Optimize your Jun-Sep Treasury Roll

Treasury futures open interest (OI) is at an unprecedented high (16.5M contracts as of May 15)
2-Year Note OI +103% YoY, accounting for 26.5% of total OI vs. 17.7% a year ago
Use our Roll tool to track the cheapness/richness of the basis spread between calendar months and identify the optimal liquidity period

10-Year T-Note Futures Contract Specs

Contract Unit	Face value at maturity of $100,000
Price Quotation	Points and fractions of points with par on the basis of 100 points
Trading Hours	Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. CT) with a 60-minute break each day beginning at 5:00 p.m. (4:00 p.m. CT)
Minimum Price Fluctuation	Outrights: One-half of one thirty-second (1/32) of one point = $15.625 Spreads: One-quarter of one thirty-second (1/32) of one point = $7.8125
Product Code	CME Globex: ZN CME ClearPort: 21 Clearing: 21
Listed Contracts	Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 consecutive quarters
Settlement Method	Deliverable
Termination Of Trading	Trading terminates at 12:01 p.m. on the 8th last business day of the contract month.
Settlement Procedures	Treasury Settlement Procedures
Position Limits	CBOT Position Limits
Exchange Rulebook	CBOT Chapter 19
Block Minimum	Block Minimum Thresholds
Price Limit Or Circuit	Price Limits
All Or None Minimum	All or None Minimums
Vendor Codes	Quote Vendor Symbols Listing
Delivery Procedure	Federal Reserve book-entry wire-transfer system.
Last Delivery Date	Last business day of the delivery month.
Grade And Quality	U.S. Treasury notes with a remaining term to maturity of at least six and a half years, but not more than 10 years, from the first day of the delivery month. The invoice price equals the futures settlement price times a conversion factor, plus accrued interest. The conversion factor is the price of the delivered note ($1 par value) to yield 6 percent.

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