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  • Analyze the cheapness/richness of the basis spread between calendar months

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2-Year T-Note Weekly Options Contract Specs

Contract Unit One 2-Year T-Note futures contract
Minimum Price Fluctuation One-half of 1/64th of a point rounded to the nearest cent per contract = $15.625
CAB: $1.00 to $15.00 in $1.00 increments
Trading Hours CME Globex: Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT
Open Outcry: MON - FRI: 7:20 a.m. - 2:00 p.m.
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Product Code CME Globex: ZT1,ZT2,ZT3,ZT4,ZT5
CME ClearPort: TW1,TW2,TW3,TW4,TW5
Open Outcry: TW1,TW2,TW3,TW4,TW5
Clearing: TW1,TW2,TW3,TW4,TW5
Listed Contracts Weekly contract listed for 3 consecutive weeks. No weekly contract listed the week of the monthly, serial or quarterly option expiration.
Termination Of Trading Trading terminates on Friday of the contract week.
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 21A
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures Strike prices will be listed in increments of one-eighth of one point. The minimum strike price range will include the at-the-money strike price closest to the current futures price plus the next twenty (20) consecutive higher and the next twenty (20) consecutive lower strike prices.
Exercise Style American
Settlement Method Deliverable
Underlying 2-Year T-Note Futures

2-Year Note Yield Curve Analytics

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