Inform your Mar-Jun Treasury Roll Strategy

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

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

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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
03/2020

06/2020

09/2020
03/2020

06/2020

09/2020
920 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
A

B
03/2020

06/2020
03/2020

06/2020
850 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
A

B
03/2020

09/2020
03/2020

09/2020
900 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
B

A
06/2020

06/2020
06/2020

06/2020
850 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
A

B
06/2020

09/2020
06/2020

09/2020
900 USD