Underlying Futures Contract: CBOT 5-year US Treasury Note (FV)
Depth: Continuous Futures Contract #1 (FV1)
Roll Date: Roll on First Day of Delivery Month. Contracts roll on the first day of the delivery month of the expiring or front contract. If the front contract expires before the first day of the deliverty month, then contracts roll on the expiry date instead.
Price Adjustment: Unadjusted. Prices are not adjusted in any way. Continuous contracts reflect raw prices from the underlying contracts.
Methodology: To read more about the Stevens roll date and price adjustment methodology, see the Documentation tab on the Stevens Continuous Futures database home page.
Contract Size: One U.S. Treasury note having a face value at maturity of $100,000.
Deliverable Good: U.S. Treasury notes with an original term to maturity of not more than five years and three months and a remaining term to maturity of not less than four years and two months as of the first day of the delivery month. The invoice price equals the futures settlement price times a conversion factor, plus accrued interest. The conversion factor is the price of the delivered note ($1 par value) to yield 6 percent.
Tick Size: One-quarter of one thirty-second (1/32) of one point ($7.8125, rounded up to the nearest cent per contract), including intermonth spreads.
Pricing Unit: Points ($1,000) and quarters of 1/32 of a point. For example, 119-16 represents 119 16/32, 119-162 represents 119 16.25/32, 119-165 represents 119 16.5/32, and 119-167 represents 119 16.75/32. Par is on the basis of 100 points.
Columns: Open, High, Low, Settle, Volume, Previous Day Open Interest. Note that Open Interest is always reported for the previous trading day, to avoid lookahead bias.