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In finance, a Treasury Note Future (more colloquially, t-note futures) is a standardized forward contract, a legal agreement to buy or sell US Treasury Notes at a specified time in the future with a face value of $100,000USD. These contracts are traded over the Chicago Mercantile Exchange generally by [brokers]] representing investors. The maturity of the note delivered at the expiration of the futures contract varies by futures type. These Futures can be used to hedge against adverse interest rate movements, or to speculate on interest rate movements.

Contract Specs[edit]

The underlying is always a US Treasury Note with $100,000USD face value, however the maturity of the underlying varies by contract length, hence their names. Differing maturities for the underlying lead to differing valuations as well as differing volatilities.

2 Year: Ticker zt. Having an original term to maturity of not more than five years and three months and a remaining term to maturity of not less than one year and nine months from the first day of the delivery month and a remaining term to maturity of not more than two years from the last day of the delivery month.
3 Year:
5 Year:
10 Year: Ticker zn. Maturity on the underlying greater than 6.5 years and less than 10 years.

Derivatives[edit]

In addition to the OTC Markets, t-note futures have a large options market, hosted by the Chicago Mercantile Exchange. The options are American and for physical delivery of the underlying upon exercise. They expire at 7PM Est on the last trading day.