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

Pace of Roll Tool

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2-Year T-Note Margins

Start Period End Period
CBT INTEREST RATES 2 YEAR TREASURY NOTE FUTURES 26 06/2019 06/2019 400 USD 30.000%
CBT INTEREST RATES 2 YEAR TREASURY NOTE FUTURES 26 09/2019 12/2019 460 USD 30.000%

2-Year Note Yield Curve Analytics