Ultra 10 Year (TN) vs 10 Year (ZN/TY)

July 11th, 2017, 12:01 PM

@geth03, @Nedster, @Raider, @TWDsje, @Jensen, @JonathanRose, @mattz

Scrapped your names from some of the recent Bond Threads. Trying to confirm the differences between the Ultra 10 Year (TN) and the old/standard 10 Year (ZN/TY). As far as I can tell the only difference is in the bonds that you can deliver (9.5 to 10 years versus 6.5 to 10 years) is that correct?

July 11th, 2017, 12:23 PM

Think of the 10yr Futures Contract (/ZN) as a 7yr bond
The /ZN is closer to a true 10yr

That's a big difference though
/ZF (5yr) - is really a 4yr
/ZB (30yr) - is really 18yr
/UB is closer to a true 30yr

does that help?

SpeculatorSeth · July 11th, 2017, 12:40 PM

In practical terms the difference is an orders of magnitude difference in volume and liquidity.

July 11th, 2017, 12:56 PM

JonathanRose

Think of the 10yr Futures Contract (/ZN) as a 7yr bond
The /ZN is closer to a true 10yr

That's a big difference though
/ZF (5yr) - is really a 4yr
/ZB (30yr) - is really 18yr
/UB is closer to a true 30yr

does that help?

Thanks Jonathan, that does.

TWDsje

In practical terms the difference is an orders of magnitude difference in volume and liquidity.

Could you expand? Are you saying the Ultra has a fraction of liquidity?

SpeculatorSeth · July 11th, 2017, 01:16 PM

Volume is basically like 100,000 transactions per month vs 1,000,0000 per month.

https://www.cmegroup.com/daily_bulletin/monthly_volume/Web_ADV_Report_CBOT.pdf

July 11th, 2017, 01:30 PM

Thank you, I'd never looked at the Ultra before but got some emails from CME about it.
Everybodies answers where very helpful.

July 11th, 2017, 03:53 PM

sorry i dont really know about the fundamental stuff, i only know how to trade

Ultra 10 Year (TN) vs 10 Year (ZN/TY)

Discussion in Treasury Notes and Bonds

Ultra 10 Year (TN) vs 10 Year (ZN/TY)