Enhancements to 3-Year Treasury Note futures

Effective July 13, 2020

  • Reduced tick size: 1/8 of 1/32 for outrights and spreads
  • New matching algorithm: 100% FIFO for outrights; 20% FIFO/80% pro-rata for calendar spreads
  • Aging 7-year notes added: with 2-years, 9 months–3 years remaining term-to-maturity

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U.S. Treasury Bond Options Contract Specs

Options
Contract Unit Face value at maturity of $100,000
Minimum Price Fluctuation 1/64 of a point = $15.625
Variable CAB at $1.00 increments from $1.00 - $15.00
Price Quotation Points and fractions of points with par on the basis of 100 points
Trading Hours CME Globex: Sunday - Friday: 5:00 p.m. - 4:00 p.m. CT
Open Outcry: Monday - Friday: 7:20 a.m. - 2:00 p.m. CT
Product Code CME Globex: OZB
CME ClearPort: 17
Open Outcry: Put: PG Call: CG
Clearing: 17
Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec)  listed for 3 quarters and 3 serial contracts
Serials exercise into the first nearby quarterly futures contract
Quarterlies exercise into the corresponding futures contracts
Termination Of Trading Trading terminates on the Friday before the 2nd last business day of the month prior to the contract month. If this is not a business day, trading terminates on the prior business day.
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 18A
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-half of one point for the nearest monthly (serial or quarterly) expiration. The minimum strike price range will include the at-the-money strike price closest to the current futures price plus the next forty (40) consecutive higher and the next forty (40) consecutive lower strike prices.  For all other months,  strike prices will be listed in increments 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 thirty (30) consecutive higher and the next thirty (30) consecutive lower strike prices.
Exercise Style American-style. The buyer of an option may exercise the option on any business day prior to expiration by giving notice to CME Clearing by 6:00 p.m. Options that expire in-the-money after the close on the last trading day are automatically exercised, unless specific instructions are given to CME Clearing by 6:00 p.m.
Settlement Method Deliverable
Underlying U.S. Treasury Bond Futures

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