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

Pace of Roll Tool

Asset Class Navigation

Ultra U.S. Treasury Bond Margins

Start Period End Period
CBT INTEREST RATES LONG TERM U.S. TREASURY BOND FUTURE UBE 06/2019 12/2019 3,450 USD 25.000%