CME Group U.S. Treasury Bond

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U.S. Treasury Bond 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: 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 5:45 p.m. – 6:00 p.m. CT
Minimum Price Fluctuation 1/32 of a point = $31.25

Calendar spreads: one-quarter of 1/32 of a point = $7.8125

Product Code CME Globex: ZB

CME ClearPort: 17

Clearing: 17

Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 quarters
Settlement Method Deliverable
Termination of Trading Trading terminates at 12:01 p.m. CT on the 7th business day prior to the last business day of the contract month.
Settlement Procedures Treasury Settlement Procedures
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 18
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
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 Quaity U.S. Treasury bonds that have remaining term to maturity of at least 15 years and less than 25 years from the first day of the futures delivery month.* The delivery invoice amount 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.
  • For more information, please refer to T-Bond Basket Gap Decision.
U.S. Treasury Bond 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 - $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: OZB

CME ClearPort: 17

Open Outcry: Put: PG Call: CG

Clearing: 17

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
Exchange Rulebook CBOT 18A
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 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.
Settlement Method Deliverable
Underlying U.S. Treasury Bond Futures

Also See[edit]

U.S. Treasury Bond Contract Specs
CME Group interest rate products
US Treasury futures