2Y 10Y and 30Y treasury yield futures now available with <$2K notional value/contract (Small Exchange)

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corp_sharecropper
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Joined: Thu Nov 07, 2013 1:36 pm

2Y 10Y and 30Y treasury yield futures now available with <$2K notional value/contract (Small Exchange)

Post by corp_sharecropper »

I've posted about the 10Y yield futures in the past but I was recently made aware that there are now 2Y and 30Y futures available now. I know there are people out there that would like to use treasury futures but the contract value is too high, while these are technically yield futures (eg. you would "sell" these to take the same position that you would if you "buy" the CME Globex treasury futures), these have much smaller notional values, ~$1K-$2K. All are cash settled, and they all expire on the same day every month (which is less confusing than the CME Globex futures), and minimum tick is 0.01 ($1). Right now they're available to trade on Interactive Brokers and a few others. At least on IB, the tickers are 2YSME, 10YSME, and 30YSME followed by the month code. Being futures, they are eligible for SPAN margining, no PDT rule limitations, and subject to section 1256 tax treatment (60/40 long-term/short-term).

Interested to hear any discussion around using these, whether in an overlay sense or any other use case others may dream up.
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