Inform your DEC-MAR Treasury roll strategy

Optimize your roll strategy with the Pace of the Roll tool:

  • Track the daily progression of the roll
  • Compare to the historical averages and ranges of the previous 20 rolls
  • Analyze the cheapness/richness of the basis spread between calendar months

Get Started

Asset Class Navigation

U.S. Treasury Bond Margins

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 3 B All dates 70%
E1U - 20-YEAR USD MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 70%
LIL - 15-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 70%
LII - 12-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 B All dates 70%
LIY - 10-YEAR ERIS SWAP FUTURES 5 A 09/2019 06/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 B All dates 70%
N1S - 10-YEAR SOFR MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 70%
YIY - 10-YEAR ERIS SOFR SWAP FUTURES 2 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 70%
F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 65%
YIB - 7-YEAR ERIS SOFR SWAP FUTURES 4 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 65%
S1S - 7-YEAR SOFR MAC SWAP FUTURES 3 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 B All dates 60%
NG - 5-YR INTEREST RATE SWAP FUTURES 5 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 3 A All dates 60%
LIB - 7-YEAR ERIS SWAP FUTURES 10 B 03/2019 06/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 60%
F1S - 5-YEAR SOFR MAC SWAP FUTURES 3 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 60%
YIW - 5-YEAR ERIS SOFR SWAP FUTURES 4 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 3 A All dates 60%
LIB - 7-YEAR ERIS SWAP FUTURES 10 B 12/2013 12/2018
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 4 A All dates 55%
I3 - 30Y INTEREST RATE SWAP FUTU 3 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 55%
CME ED - EURODOLLAR FUTURES 8 B 12/2028 09/2029
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 55%
CME ED - EURODOLLAR FUTURES 8 B 12/2027 09/2028
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 55%
CME ED - EURODOLLAR FUTURES 8 B 12/2026 09/2027
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 55%
CME ED - EURODOLLAR FUTURES 8 B 12/2029 09/2030
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 55%
CME ED - EURODOLLAR FUTURES 8 B 12/2025 09/2026
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 50%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 12/2020 03/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 50%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 06/2021 06/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 50%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 06/2020 09/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 50%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 12/2019 03/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME ED - EURODOLLAR FUTURES 8 B 12/2024 09/2025
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 A All dates 50%
LIY - 10-YEAR ERIS SWAP FUTURES 5 B 09/2012 12/2012
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME ED - EURODOLLAR FUTURES 8 B 12/2023 09/2024
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 09/2022 06/2023
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 03/2021 06/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 03/2021 06/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 09/2021 06/2022
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 03/2021 06/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 09/2021 06/2022
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 5 B 03/2021 11/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 5 B 02/2021 02/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 5 B 01/2021 01/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 45%
41 - 30 DAY FED FUND FUTURES 5 B 11/2021 10/2025
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 10 A All dates 40%
CME EQUITY INDEX SP - S&P 500 FUTURES 1 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 A All dates 40%
CME EQUITY INDEX TRF - BTIC ON S&P 500 TOTAL RETURN INDEX 1 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 40%
CME ED - EURODOLLAR FUTURES 8 B 12/2022 09/2023
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 40%
CME ED - EURODOLLAR FUTURES 8 B 12/2021 09/2022
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 40%
CME ED - EURODOLLAR FUTURES 8 B 03/2021 09/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 3 B All dates 35%
S1U - 7-YEAR USD MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 35%
3YR - 3 YEAR TREASURY NOTE FUTURE 3 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 35%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 06/2019 09/2019
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 35%
CME EM - ONE MONTH EURODOLLAR FUTURES 5 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 35%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 12/2018 03/2019
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 35%
26 - 2 YEAR TREASURY NOTE FUTURES 5 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 35%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 06/2018 09/2018
CME EQUITY INDEX NQ - E-MINI NASDAQ 100 FUTURES Delta 1 A All dates 30%
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES 1 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 30%
CME FX JY - JAPANESE YEN FUTURES 1 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 30%
CME ED - EURODOLLAR FUTURES 8 B 12/2020 02/2021
CBT EQUITY INDEX YM - E-MINI DOW ($5) FUTURES Delta 1 A All dates 25%
INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES 1 A All dates
CMX METALS CX-GC - COMEX 100 GOLD FUTURES Delta 1 B All dates 20%
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES 1 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Scan 5 All dates 68%
21 - 10Y TREASURY NOTE FUTURES 12 All dates
25 - 5 YR TREASURY NOTE FUTURES 18 All dates
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 8 All dates
UBE - LONG TERM U.S. TREASURY BOND FUTURE 3 All dates
CBT INTEREST RATES B1U - 30-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 80%
17 - 30 YR U.S. TREASURY BOND FUTURES 1 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 A All dates 80%
LIE - 30-YEAR ERIS SWAP FUTURES 3 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 A All dates 80%
N1U - 10-YEAR USD MAC SWAP FUTURES 5 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 9 B All dates 75%
YIO - 20-YEAR ERIS SOFR SWAP FUTURES 10 A All dates