How are Treasury bond futures priced?
Caleb Butler
Updated on April 01, 2026
Prices are quoted in points per $2000 for the 2-year and 3-year contract and points per $1000 for the all other U.S. Treasury futures. The fractional points are expressed in 1/32nd in line with the convention in US government bond market.
Are Treasury futures cash settled?
At the expiration of a futures contract, the contract is usually settled one of two ways, through a physical settlement involving a delivery of the underlying product or by means of a financial, or cash, settlement to an index or widely accepted price benchmark.
Do Treasury futures have yield?
The Treasury futures contract trades in lockstep with the 30-year Treasury bond itself (often called the cash bond, to distinguish it from the futures), such that a given futures price seems to correspond to a cash bond yield. And indeed it does.
How much is a ZB contract?
T-Bond Sep ’21 (ZBU21)
| Barchart Symbol | ZB |
|---|---|
| Tick Size | 32nds of a point ($31.25 per contract) rounded up to the nearest cent per contract; par is on the basis of 100 points |
| Margin/Maintenance | $3,850/3,500 |
| Daily Limit | None |
| Contract Size | $100,000 |
Will speculators buy or sell Treasury bond futures contracts if they expect interest rates to increase?
Speculators should sell Treasury bond futures contracts. If they expected interest rates to increase, this implies expectations of lower bond prices. Thus, if security prices decline so will futures prices. Speculators could then close out their positions by purchasing an identical futures contract.
Which bond delivery is cheapest?
Cheapest to deliver is the cheapest security that can be delivered in a futures contract to a long position to satisfy the contract specifications. It is common in Treasury bond futures contracts.
How much is each tick on ZB?
The tick size on the ZB is 1/32 or $31.50 per one point/ tick.
How many ticks are in a Zn?
10-Year T-Note Sep ’21 (ZNU21)
| Barchart Symbol | ZN |
|---|---|
| Contract | 10-Year Treasury-Note |
| Exchange | CBOT |
| Tick Size | One half of 1/32 of a point ($15.625 per contract) rounded up to the nearest cent per contract; par is on the basis of 100 points |
| Margin/Maintenance | $1,677/1,525 |
What is the underlying asset of a Eurodollar interest rate futures contract?
eurodollar time deposit
The underlying instrument in eurodollar futures is a eurodollar time deposit, having a principal value of $1 million with a three-month maturity.
What are bond futures?
A Bond Future is a contractual obligation for the contract holder to buy or sell a Bond on a specified date at a predetermined price. The buyer (long position) of a Bond Future is obliged to buy the underlying Bond at the agreed price on expiry of the future.
How is tick value calculated on a contract?
To manually calculate tick size:
- Calculate the base tick value by dividing the Product’s numerator by the denominator.
- Refer to the associated tick table, and reference the correct upper price limit and Ticks multiplier.
- Calculate the tick size by multiplying the base tick value by the tick table Ticks multiplier.
How much is a tick on es?
Index Futures Contract Specs
| Index Contract | thinkorswim Ticker Symbol | $ Value of 1 Tick |
|---|---|---|
| E-mini S&P 500 | /ES | $12.50 |
| E-mini Nasdaq-100 | /NQ | $5 |
| E-mini Russell 2000 | /RTY | $5 |
| E-mini Dow ($5) | /YM | $5 |
How much is a tick worth in ES?
The E-mini S&P 500 (ES) futures contract has a tick value of $0.25. The dollar amount per move is $12.50 because the contract unit is $50 times the S&P 500. 5 Light sweet crude oil (CL) futures move in increments of $0.01 per barrel.
What is the average tick range of Zn?
How much is a Eurodollar futures contract?
Each CME Eurodollar futures contract has a notional or “face value” of $1,000,000, though the leverage used in futures allows one contract to be traded with a margin of about one thousand dollars.
Table 1: CBOT Treasury Futures Contract Details. Prices are quoted in points per $2000 for the 2-year and 3-year contract and points per $1000 for the all other U.S. Treasury futures. The fractional points are expressed in 1/32nd in line with the convention in US government bond market.
How are Treasury futures settled?
How are most futures contracts settled?
All futures and options contracts are cash settled, i.e. through exchange of cash. The underlying for index futures/options of the Nifty index cannot be delivered. These contracts, therefore, have to be settled in cash. Futures and options on individual securities can be delivered as in the spot market.
How to price a Treasury bond futures contract?
Treasury Bond Futures Price (alternative formula): f 0 (T) = S 0 (1+r) T – FV (CF) CF = Coupon payment during the remaining life of the contract term Step 2: Apply the Conversion Factor Note: expect the exam to provide the CTD bond and the conversion factor. The test taker may be required to price a futures contract, given that data.
Is the settlement in bond futures in cash?
For most bond futures, the short party has the option to deliver any of the instruments in the basket. The exception are the Australian and New Zealand futures, where the settlement is in cash using an averaging mechanism on the basket.
How is the price of a Treasury bond divided?
The Treasury bond future price must be divided by the conversion factor. Because the futures contract seller is allowed to deliver from a range of bonds at expiration to fulfill the contract, a conversion factor must be applied to the futures price.
What is the face value of a five year Treasury bond?
A trader decides to buy a five-year Treasury bond futures contract that has a $100,000 face value meaning that the $100,000 will be paid at expiration. The investor buys on margin and deposits $10,000 in a brokerage account to facilitate the trade. The T-bond’s price is $99, which equates to a $990,000 futures position.
