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

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Asset Class Navigation

U.S. Treasury Bond Margins

Ratio Side Start Period End Period Maintenance
CBT INTEREST RATES U.S. TREASURY BOND 17 1

2

1
A

B

A
12/2020

03/2021

06/2021
12/2020

03/2021

06/2021
1,300 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
A

B
12/2020

03/2021
12/2020

03/2021
800 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
A

B
12/2020

06/2021
12/2020

06/2021
1,550 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
B

A
03/2021

03/2021
03/2021

03/2021
1,250 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
A

B
03/2021

06/2021
03/2021

06/2021
1,550 USD