FOUR more NEW MICRO's - Micro Treasury Yield Futures coming 16 Aug'21 - futures io
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FOUR more NEW MICRO's - Micro Treasury Yield Futures coming 16 Aug'21


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FOUR more NEW MICRO's - Micro Treasury Yield Futures coming 16 Aug'21

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  #1 (permalink)
 SMCJB 
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These are interesting as they are not smaller versions of an existing contract, as they reference yield and not price, like the Eurodollar contract, and cough cough, the small exchange treasury contract!

Micro Treasury Yield futures
Micro-sized treasuries, major possibilities

Launching August 16, 2021, cash-settled Micro Treasury Yield futures will offer a streamlined way to trade interest rate markets with contracts based directly on yields of the most recently auctioned Treasury securities at four key tenor points on the curve.

Traded in yield
Directly references the most widely followed US Treasury market metric yields of recently auctioned Treasury securities.

Four major tenors
Trade across the yield curve with contracts on four key tenors: 2-Year Note, 5-Year Note, 10-Year Note, and 30-Year Bond.

Simple, cash-settled design
All four contracts are sized at $10 dollar per basis point of yield (0.01%), creating seamless curve spreading opportunities.

Built on leading BrokerTec benchmarks
Anchored by BrokerTec US Treasury benchmarks, sourced from transactions on the leading cash UST trading platform.

Micro Treasury Yield futures
https://www.cmegroup.com/trading/interest-rates/micro-treasury-yield-futures.html

@FuturesTrader71

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  #2 (permalink)
 FuManChou 
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Wow. Good news for us noobs.

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 addchild 
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Im hoping these take off because it will be very nice to have actual 30y exposure in futures (compared to UB which is ~25yr), and you will be able to put on yield spreads without having to worry about pesky dv01 ratios. I'm curious to see how they are going to handle the auction/expiration schedule.

Though the different quoting convention (yield instead of price) and them being non-fungible with a larger product might present an obstacle for their adoption.

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 SMCJB 
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addchild View Post
Though the different quoting convention (yield instead of price) and them being non-fungible with a larger product might present an obstacle for their adoption.

Agree its a different price risk, the relationship between price and yield is not linear, and the biggest players in the market are hedging price (not yield) risk. Saying that people who want to speculate on interest rate moves probably prefer a yield contract rather than a price contract. We will see.

While the FAQ doesnt address this I assume the price will be like Fed Funds, Eurodollars and other STIR contracts, specifically 100-Yield, so 99 would equate to a yield of 1%.

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  #5 (permalink)
 Cutloss 
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good news for all! i know plenty of big traders who are utilizing the micros.. why?
initial order entry and to run new strategies live as ell as venturing out into swing trades vs scalps nd day trades.

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 Schnook 
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This is going to be a great product. The fixed $10 DV01 will allow for a much higher degree of precision for duration-neutral curve expressions (no more squirrely hedge ratios or convexity adjustments), and with the monthly auction schedules we won't have to worry about cheapest-to-deliver shenanigans as has historically been the case with the old bond contract. These features will also make the new contracts a much cleaner and simpler way to hedge interest-rate risk for mortgage and credit traders, and for these reasons I expect that they will be very well-received by both retail and institutional participants.

Regarding the very good point about the non-linear relationship between price and yield, I would only add the the convexity profile of the ZB contract is unlikely to match the convexity profile of what people are hedging with it anyway, so traditional hedgers would have to make periodic adjustments to their hedge ratios when using the Treasury futures anyway. Yield futures, being more granular and no longer subject to convexity issues, might actually make this easier for some users.

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 COTtrader 
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Thanks. I'll see how these run in semi-automated strategy! Finally!

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  #8 (permalink)
Jaybee12
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Anyone heard of brokers who will definitely be offering these? Launch is not till Aug 16, so there is still some way to go, but I would be interested to see if they become widely adopted.

Not a bad thing to trade IMHO - I am now well used to working out the DV01s and weighting each leg off that, but these would simplify matters (even if transacting on a yield rather than price basis will take some getting used to).

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 tr8er 
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Jaybee12 View Post
Anyone heard of brokers who will definitely be offering these? Launch is not till Aug 16, so there is still some way to go, but I would be interested to see if they become widely adopted.

Not a bad thing to trade IMHO - I am now well used to working out the DV01s and weighting each leg off that, but these would simplify matters (even if transacting on a yield rather than price basis will take some getting used to).

You can be sure that every broker (who offers CME futures) will allow them to trade

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 Schnook 
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These contracts are now available for trading. Volumes have been low so far but things picked on a bit beginning Sep. 1 and should continue to improve. The bulk of the volume and OI right now are in the 10Y, so doesn't appear to be a ton of spreading going on just yet, but I plan on taking a closer look next week and perhaps even testing the waters a bit.

Anyone else here involved?

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