2 Year T-Note Quotes
The CME 2 Year note futures contract
represents the stream of income from interest payments and then the payment of principal at T-note maturity on a $200,000
2-year U.S Treasury note.
Example of Futures Quote:
Treasury notes are quoted in terms of $100 of face value. If the price is below 100 that
means that buyers demand a higher rate of return than the coupon. If the price is above 100 is means that buyers are content
with a lower rate of return than the coupon. If it is trading at 100 that means that it is trading at the coupon rate which
is called par.
Prices
are quoted in one quarter of 1/32nds of a point with one point equal to $2,000, and one quarter of 1/32nd equal to $15.625.
123'072 means 123 and 7.25/32 points.
If you buy the futures at 123'07 and it goes up to 124'07 that means that the contract gains one point or $2,000. If it goes
from 123'07 to 123'082 that means that it gains 1.25/32 of a point or $78.125.
2 Year T-Note Options Quotes
The CME 2 Year treasury note options contract control $200,000 worth
of 2-yr US. T-Notes based on the underlying futures contract. Strike prices are listed up and down from "at the money"
at one-quarter point increments.
Example of Option Quote:
Prices are quoted in ½ of 1/64 of a point with one point equal to $2,000, and
½ of 1/64th equal to $15.625.
1'425 means 1 point and 42.5/64ths
1.6640625 X $2,000 = $3,328.125 (price of option)
