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

Ratio Side Start Period End Period Maintenance
CBT INTEREST RATES 2-YEAR T-NOTE 26 1

2

1
A

B

A
06/2019

09/2019

12/2019
06/2019

09/2019

12/2019
225 USD
CBT INTEREST RATES 2-YEAR T-NOTE 26 1

1
B

A
06/2019

06/2019
12/2019

12/2019
155 USD

2-Year Note Yield Curve Analytics