RJO FuturesCast

Daily Futures Market News, Commentary, & Insight

In response to client demand for an additional tenor point on the short-end of the curve, and to better serve the evolving needs of today’s treasury environment, we will launch an enhanced 3-Year Treasury Note futures contract on July 13, 2020 (pending regulatory review). To learn more, please visit the CME Website

Reduced tick size to 1/8 of 1/32 for outrights and spreads (from 1/4 of 1/32).

  • Builds upon the success of the 2-Year Note futures (ZT) tick cut in January 2019 which improved cost-to-trade by up to 32% and attracted more end user participation.
  • Brings greater alignment between 2s and 3s for seamless spread trading.

New matching algorithm of 100% FIFO for outrights (from 40% FIFO/60% Pro-Rata). Calendar spreads will remain 20% FIFO/80% Pro-Rata.

A more robust deliverable basket through the addition of aging 7-year notes with remaining term to maturity that ranges from 2 years, 9 months to 3 years.

  • Will increase the size of the delivery basket from roughly 8 issues/$288B to 12 issues/$400B, bringing the 3-Year contract in line with 2-Year and 5-Year Note futures.

CME Group