Better Manage the Dec-Mar Treasury Roll

  • Open interest in Treasury futures exceeds 15 million contracts as of November 19
  • First notice date is November 30
  • Use our Pace of the Roll tool to inform your roll strategies

Pace of Roll Tool

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Ultra U.S. Treasury Bond Futures Contract Specs

Contract Unit Face value at maturity of $100,000
Price Quotation Points and fractions of points with par on the basis of 100 points
Trading Hours Sunday - Friday 5:00 p.m. - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m.
Minimum Price Fluctuation One 32nd of one point ($31.25 per contract), except for intermonth spreads for which the minimum price increment is one quarter of one thirty-second of one point ($7.8125)
Product Code CME Globex: UB
CME ClearPort: UBE
Clearing: UBE
Listed Contracts The first three consecutive contracts in the March, June, September, and December quarterly cycle.
Settlement Method Deliverable
Termination Of Trading Seventh business day preceding the last business day of the delivery month. Trading in expiring contracts closes at 12:01 p.m. on the last trading day.
Settlement Procedures Treasury Settlement Procedures
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 40
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
All Or None Minimum All or None Minimums
Vendor Codes Quote Vendor Symbols Listing
Last Delivery Date Last business day of the delivery month.
Grade And Quality U.S. Treasury bonds with remaining term to maturity of not less than 25 years from the first day of the futures contract delivery month. The invoice price equals the futures settlement price times a conversion factor, plus accrued interest. The conversion factor is the price of the delivered bond ($1 par value) to yield 6 percent.

Welcome to U.S. Treasury Futures

Whether you are a new trader looking to get started in futures, or an experienced trader looking for a more efficient way to trade the U.S. government bond market, look no further than U.S. Treasury futures.

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