CME Group 2-Year US Treasury Note

From MarketsWiki
Jump to: navigation, search
RCG Division of Marex Spectron-337x80.jpg
CME Group 2-Year U.S. Treasury Note Futures
Contract Unit Face value at maturity of $200,000
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.
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
Minimum Price Fluctuation One-eighth of one thirty-second (1/32) of one point ($7.8125, rounded to the nearest cent per contract), including intermonth spreads.
Product Code CME Globex: ZT

CME ClearPort: 26

Clearing: 26

Listed Contracts The first three consecutive contracts in the March, June, September, and December quarterly cycle.
Settlement Method Deliverable
Termination of Trading Last business day of the calendar 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 21
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
All or None Minimum All or None Minimum
Vendor Codes Quote Vendor Symbols Listing
Delivery Procedure Federal Reserve book-entry wire-transfer system.
Last Delivery Date Third business day following the last trading day.
Grade and Quality U.S. Treasury notes with an original term to maturity of not more than five years and three months and a remaining term to maturity of not less than one year and nine months from the first day of the delivery month and a remaining term to maturity of not more than two years from the last 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.
CME Group 2-Year U.S. Treasury Note Options
Contract Unit Face value at maturity of $200,000
Minimum Price Fluctuation One-half of 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: OZT

CME ClearPort: 26

Open Outcry: Put: TUP Call: TUC

Clearing: 26

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 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 21A
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-eighth 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 twenty (20) consecutive higher and the next twenty (20) 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 5:30 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 5:30 p.m.
Settlemnt Method Deliverable
Underlying 2-Year T-Note Futures

Notes

Other than American option, there is weekly option for 2-Year U.S. Treasury Note futures contract. For contract specification of the weekly option, please refer to weekly option specification for 2-Year Treasury Note futures contract

(*)Last Trading Day: Options cease trading on the last Friday which precedes by at least two business days, the last business day of the month preceding the option month. Options cease trading at the close of the regular daytime open auction trading session for the corresponding 2-Year Treasury Note futures contract.

Also See

CME Group interest rate products


Resources

CME Group 2-Year U.S. Treasury Notes Contract Specification CME Group 2-Year US Treasury Note Contract Specifications