6% Coupon Change FAQ
Dollar Volatility Changes Can Generate Trading Opportunities
| Contract Size |
|
One U.S. Treasury bond having a face value at maturity of $100,000 or multiple thereof. |
| Deliverable Grades |
|
U.S. Treasury bonds that, if callable, are not callable for at least 15 years from the first day of the delivery month or, if not callable, have a maturity of at least 15 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 bond ($1 par value) to yield 6 percent. |
| Tick Size |
|
Minimum price fluctuations shall be in multiples of one-half of one thirty second point per 100 points ($15.625 per contract) except for intermonth spreads, for which minimum price fluctuations shall be in multiples of one-fourth of one thirty-second point per 100 points ($7.8125 per contract). Par shall be on the basis of 100 points. Contracts shall not be made on any other price basis. |
| Price Quote |
|
Points ($1,000) and one-half of 1/32 of a point; i.e., 80-16 equals 80-16/32, 80-165 equals 80-16.5/32. |
| Contract Months |
| Mar, Jun, Sep, Dec |
| Last Trading Day |
| Seventh business day preceding the last business day of the delivery month. Trading in expiring contracts closes at noon, Chicago time, on the last trading day. |
| Last Delivery Day |
| Last business day of the delivery month. |
| Trading Hours |
| Open Auction: 7:20 am - 2:00 pm, Chicago time, Monday - Friday Electronic: 5:30 pm - 4:00 pm, Chicago time, Sunday - Friday Trading in expiring contracts closes at noon, Chicago time, on the last trading day |
| Ticker Symbols |
| Open Auction: US Electronic: ZB |
| Daily Price Limit |
| None |
| Margin Information |
|
Find information on margins requirements for the 30 Year U.S. Treasury Bonds. |
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