Inform your Mar-Jun Treasury Roll Strategy

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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 1 A All dates 80%
B1U - 30-YEAR USD MAC SWAP FUTURES 1 B 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 2 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 5 A 12/2019 09/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 A All dates 75%
LIY - 10-YEAR ERIS SWAP FUTURES 5 B 12/2012 03/2013
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 75%
CME ED - EURODOLLAR FUTURES 5 B 03/2026 12/2026
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 75%
CME ED - EURODOLLAR FUTURES 5 B 03/2028 12/2028
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 75%
CME ED - EURODOLLAR FUTURES 5 B 03/2025 12/2025
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 75%
CME ED - EURODOLLAR FUTURES 5 B 03/2029 12/2029
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 75%
CME ED - EURODOLLAR FUTURES 5 B 03/2027 12/2027
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 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 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 03/2024 12/2024
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 03/2022 12/2022
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 03/2021 12/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 03/2023 12/2023
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 09/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 60%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 03/2020 06/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 60%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 09/2020 09/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 60%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 09/2019 12/2019
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 60%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 03/2019 06/2019
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 60%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 09/2018 12/2018
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 60%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 12/2020 09/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 60%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 12/2021 09/2022
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 60%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 06/2020 09/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 60%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 06/2020 09/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 60%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 12/2020 09/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 60%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 06/2020 09/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 60%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 03/2018 06/2018
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 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 5 B 06/2020 12/2020
CBT EQUITY INDEX YM - E-MINI DOW ($5) FUTURES Delta 1 A All dates 50%
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 50%
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 50%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 09/2017 12/2017
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 50%
LIT - 2-YEAR ERIS SWAP FUTURE 10 A 03/2020 09/2020
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 B All dates 50%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 03/2017 06/2017
CME EQUITY INDEX SP - S&P 500 FUTURES Delta 1 A All dates 45%
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES 10 A All dates
CME EQUITY INDEX NQ - E-MINI NASDAQ 100 FUTURES Delta 1 A All dates 45%
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES 1 A All dates
CME EQUITY INDEX TRF - BTIC ON S&P 500 TOTAL RETURN INDEX Delta 1 A All dates 45%
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES 2 A All dates
CME FX JY - JAPANESE YEN FUTURES Delta 1 A All dates 45%
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES 1 B All dates
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 02/2021 01/2023
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 06/2020 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 05/2020 05/2020
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 04/2020 04/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 40%
CME ED - EURODOLLAR FUTURES 5 B 03/2020 05/2020
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 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 A All dates 35%
LIW - 5-YEAR ERIS SWAP FUTURES 4 B 09/2016 12/2016
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 35%
LIT - 2-YEAR ERIS SWAP FUTURE 10 B 09/2018 12/2018
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