Optimize your Jun-Sep Treasury Roll

  • Treasury futures open interest (OI) is at an unprecedented high (16.5M contracts as of May 15)
  • 2-Year Note OI +103% YoY, accounting for 26.5% of total OI vs. 17.7% a year ago
  • Use our Roll tool to track the cheapness/richness of the basis spread between calendar months and identify the optimal liquidity period

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Ultra U.S. Treasury Bond Options Contract Specs

Options
Contract Unit Face value at maturity of $100,000
Minimum Price Fluctuation Outrights: 1/64 of a point  = $15.625, rounded up to the nearest cent.
CAB: $1.00 to $15.00 in $1.00 increments
Price Quotation Points and fractions of points with par on the basis of 100 points
Trading Hours CME Globex: SUN-FRI: 5:00 p.m. - 4:00 p.m. CT
Open Outcry: MON - FRI: 7:20 a.m. - 2:00 p.m. CT
Product Code CME Globex: OUB
CME ClearPort: UBE
Open Outcry: OUL
Clearing: UBE
Listed Contracts Monthly contracts listed for 3 serial months and quarterly contracts listed for 3 quarters
Termination Of Trading Trading terminates on the Friday before 2nd last business day of the month prior to contract month
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 40A
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures Strike prices will be listed in increments of one-half of one point for the nearest monthly (serial or quarterly) expiration. The minimum strike price range will include the at-the-money strike price closest to the current futures price plus the next forty (40) consecutive higher and the next forty (40) consecutive lower strike prices.  For all other months,  strike prices will be listed in increments of one point. The minimum strike price range will include the at-the-money strike price closest to the current futures price plus the next thirty (30) consecutive higher and the next thirty (30) consecutive lower strike prices.
Exercise Style American-style. The buyer of an option may exercise the option on any business day prior to expiration by giving notice to CME Clearing by 6:00 p.m. Options that expire in-the-money after the close on the last trading day are automatically exercised, unless specific instructions are given to CME Clearing by 6:00 p.m.
Settlement Method Deliverable
Underlying Ultra U.S. Treasury Bond Futures

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