Underlying Futures Contract: CBOT 10-year US Treasury Note (TY)
Depth: Continuous Futures Contract #1 (TY1)
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: Calendar Weighted Method. The price gap between consecutive contracts is smoothed by following a weighted-average process. The continuous contract gradually shifts from representing 100% front and 0% back weighting, to 0% front and 100% back weighting, over a period of 5 days. This price adjustment corresponds to a mechanical roll strategy wherein the trader rolls 20% of the position every day, for 4 days before the roll date.
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 a remaining term to maturity of at least six and a half years, but not more than 10 years, from 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-half of one thirty-second (1/32) of one point ($15.625, rounded up to the nearest cent per contract), except for intermonth spreads, where the minimum price fluctuation shall be one-quarter of one thirty-second of one point ($7.8125 per contract).
Pricing Unit: Points ($1,000) and halves of 1/32 of a point. For example, 126-16 represents 126 16/32 and 126-165 represents 126 16.5/32. 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.