CME Group 10-Year US Treasury Note
Jump to navigation
Jump to search
| 10-year U.S. Treasury Note Futures | ||
|---|---|---|
| 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 | CME Globex: | Sunday - Friday 6:00 p.m. - 5:00 p.m.ET (5:00 p.m. - 4:00 p.m. CT). Monday - Thursday 5:00 p.m. - 6:00 p.m. ET (4:00 p.m. - 5:00 p.m. CT) daily maintenance period. |
| CME ClearPort: | Sunday 5:00 p.m. - Friday 5:45 p.m. CT with a 15-minute maintenance window. Monday - Thursday from 5:45 p.m. to 6:00 p.m. CT | |
| Minimum Price Fluctuation | Outrights: One-half of one thirty-second (1/32) of one point = $15.625
Spreads: One-quarter of one thirty-second (1/32) of one point = $7.8125" | |
| Product Code | CME Globex: ZN
CME ClearPort: 21 Clearing: 21 | |
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 consecutive quarters | |
| Settlement Method | Deliverable | |
| Termination of Trading | Trading terminates on the 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 Chapter 19 | |
| 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 | |
| Delivery Procedure | Federal Reserve book-entry wire-transfer system. | |
| Last Delivery Date | Last business day of the delivery month. | |
| Grade and Quality | U.S. Treasury notes with a remaining term to maturity of at least six and a half years, but not more than 10 years, from the first day of the 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 note ($1 par value) to yield 6 percent. | |
| 10-year U.S. Treasury Note Options | ||
|---|---|---|
| Contract Unit | Face value at maturity of $100,000 | |
| Minimum Price Fluctuation | 1/64 of a point = $15.625.
Variable CAB at $1.00 increments from $1.00 to $15.00 | |
| Price Quotation | Points and fractions of points with par on the basis of 100 points | |
| Trading Hours | CME Globex: | Sunday - Friday: 5:00 p.m. - 4:00 p.m. CT |
| Open Outcry: | Monday - Friday: 7:20 a.m. - 2:00 p.m. CT | |
| CME ClearPort: | Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT | |
| Product Code | CME Globex: OZN
CME ClearPort: 21 Open Outcry: Put: TP Call: TC Clearing: 21 | |
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 quarters and 3 serial contracts
Serials exercise into the first nearby quarterly futures contract Quarterlies exercise into the corresponding quarterly futures contracts | |
| Termination of Trading | Trading terminates on the Friday before the 2nd last business day of the month prior to the contract month. If this is not a business day, trading terminates on the prior business day. | |
| Position Limits | CBOT Position Limits | |
| Excahnge Rulebook | CBOT 19A | |
| 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-quarter 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 fifty (50) consecutive higher and the next fifty (50) consecutive lower strike prices. For all other months, Strike prices will be listed in increments of one-half 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 fifty consecutive higher and the next fifty 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. | |
| Settlemnt Method | Deliverable | |
| Underlying | 10-Year T-Note Futures | |
Notes[edit]
Also See[edit]
CME Group interest rate products