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

Asset Class Navigation

2-Year T-Note Margins

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 10 B All dates 75%
LIW - 5-YEAR ERIS SWAP FUTURES 9 A 06/2019 12/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 75%
CME ED - EURODOLLAR FUTURES 3 B 06/2020 03/2021
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 75%
LIT - 2-YEAR ERIS SWAP FUTURE 2 A 06/2019 12/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 6 B All dates 70%
F1U - 5-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 10 A All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 9 B 06/2017 03/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 A All dates 70%
41 - 30 DAY FED FUND FUTURES 1 B 05/2020 04/2022
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 03/2022 12/2022
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 03/2023 12/2023
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 03/2021 12/2021
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 3 B 06/2021 03/2022
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 9 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 10 B 03/2018 12/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 70%
T1U - 2-YEAR USD MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 03/2020 12/2020
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 03/2020 12/2020
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 09/2019 12/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 09/2019 12/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LIC - 3-YEAR ERIS SWAP FUTURES 3 B 06/2018 12/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 3 B 09/2019 03/2020
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 A All dates 70%
LIT - 2-YEAR ERIS SWAP FUTURE 2 B 06/2018 03/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 9 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 10 B 03/2016 12/2017
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 3 B All dates 68%
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 1 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 65%
LIY - 10-YEAR ERIS SWAP FUTURES 1 B 03/2019 12/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 65%
26 - 2 YEAR TREASURY NOTE FUTURES 2 B All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 65%
CME ED - EURODOLLAR FUTURES 3 B 06/2022 03/2023
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 65%
CME ED - EURODOLLAR FUTURES 3 B 06/2023 03/2024
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 65%
CME ED - EURODOLLAR FUTURES 3 B 06/2024 03/2025
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 3 B 06/2025 03/2026 65%
CBT 26 - 2 YEAR TREASURY NOTE FUTURES 2 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 65%
CME ED - EURODOLLAR FUTURES 3 B 06/2026 03/2027
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 65%
CME ED - EURODOLLAR FUTURES 3 B 06/2027 03/2028
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 65%
CME ED - EURODOLLAR FUTURES 3 B 06/2028 03/2029
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 A All dates 65%
41 - 30 DAY FED FUND FUTURES 1 B 12/2019 04/2020
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 A All dates 65%
41 - 30 DAY FED FUND FUTURES 1 B 12/2019 04/2020
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 09/2019 11/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 09/2019 11/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 B All dates 65%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 06/2019 06/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 3 B 06/2016 03/2018
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 8 B All dates 60%
UBE - LONG TERM U.S. TREASURY BOND FUTURE 1 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 9 A All dates 60%
I3 - 30Y INTEREST RATE SWAP FUTU 2 B All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 3 A All dates 60%
LIE - 30-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 3 A All dates 60%
B1U - 30-YEAR USD MAC SWAP FUTURES 1 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 60%
26 - 2 YEAR TREASURY NOTE FUTURES 6 B All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 B All dates 60%
N1U - 10-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 B 12/2012 12/2018
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 50%
S1U - 7-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 B All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 03/2019 03/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 50 A All dates 45%
CME EQUITY INDEX SP - S&P 500 FUTURES 1 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 11 A All dates 45%
CME EQUITY INDEX TRF - BTIC ON S&P 500 TOTAL RETURN INDEX 1 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 A All dates 45%
41 - 30 DAY FED FUND FUTURES 1 B 09/2019 11/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 A All dates 45%
41 - 30 DAY FED FUND FUTURES 1 B 09/2019 11/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 A All dates 45%
41 - 30 DAY FED FUND FUTURES 1 B 07/2019 08/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 2 A All dates 45%
CME ED - EURODOLLAR FUTURES 3 B 05/2019 08/2019
CBT EQUITY INDEX YM - E-MINI DOW ($5) FUTURES Delta 1 A All dates 35%
INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES 9 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 10 A All dates 35%
LIB - 7-YEAR ERIS SWAP FUTURES 7 B 03/2019 12/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 10 A All dates 35%
LIB - 7-YEAR ERIS SWAP FUTURES 7 B 12/2013 12/2018
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 08/2019 08/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 07/2019 07/2019
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 06/2019 06/2019
CME FX JY - JAPANESE YEN FUTURES Delta 2 A All dates 30%
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES 1 B All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 3 A All dates 30%
CME EM - ONE MONTH EURODOLLAR FUTURES 2 B All dates
CMX METALS CX-GC - COMEX 100 GOLD FUTURES Delta 1 B All dates 25%
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES 9 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

2-Year Note Yield Curve Analytics