They should have just made Micro Treasury Note and Bond futures instead. Those I would have traded.
It's going to take people time to figure out how these things work, but people may decide not to trad them.
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Micro rate futures
- Thread starter Real Money
- Start date
It's going to take people time to figure out how these things work, but people may decide not to trad them.
That's for the Micro 10-year Yield futures, but there is literally zero volume on the 2, 5, and 30-year futures.So far during RTH spread is 2-3 ticks / sometimes even 1 tick (Aug contract) and moves inversely in step with futures as expected, albeit on extremely thin volume. CME definitely didn't have all their ducks in a row this time.
1295 traded so far 11:22am ET
I would not read much into the activity level from the first day. It doesn't look like retail brokers were even setup to actually trade it today. NinjaTrader has the instrument settings wrong, and you have to contact them for the contract to be enabled for you. I haven't seen any retail brokers even list their commissions for the contract. So it's going to take quite some time for things to get going. This is pretty common for new product launches except the MES which was crazy the first day.
The main treasury instruments are a deliverable with multiple eligible securities available for delivery. As such they tend to follow the price of the security that is cheapest to deliver (CTD). The micro treasury yield futures on the other hand are intended to skip over all of that and track the on the run or most recently issued treasury (OTR). There is a difference between the CTD and OTR yields.
Now if you go calculate the dollar value of a basis point in the futures that will give you a good idea of how much the micro should move. Something like 1.6 ticks for every tick in the main futures. Probably why there's a little bit of a spread out there right now. I expect over time that will narrow though.
I'm not bothered by the conversion and I understand the yield system, the question was how close will the new micro yield follow the yield of the large size futures, will it match it like WTI or the indexes micro to mini or not ?
The main treasury instruments are a deliverable with multiple eligible securities available for delivery. As such they tend to follow the price of the security that is cheapest to deliver (CTD). The micro treasury yield futures on the other hand are intended to skip over all of that and track the on the run or most recently issued treasury (OTR). There is a difference between the CTD and OTR yields.
Now if you go calculate the dollar value of a basis point in the futures that will give you a good idea of how much the micro should move. Something like 1.6 ticks for every tick in the main futures. Probably why there's a little bit of a spread out there right now. I expect over time that will narrow though.
That is true, which is why I (and apparently the wider market) wanted Micro Treasury Notes and Bonds rather than Micro Treasury Yields.Yield contracts are brand new. Bitcoin and crude futures were around before micros came on the scene.
There's always been less interest from retail traders in the interest rates. Some features of the new contracts might help change that, but it will need time to play out. In the meantime you have a retail trader focused product that most retail traders can't even trade today. So I'd say let's just watch things develop, and not try to come to hasty conclusions.
Agree. Because I sure don't know what the wider market thinks.There's always been less interest from retail traders in the interest rates. Some features of the new contracts might help change that, but it will need time to play out. In the meantime you have a retail trader focused product that most retail traders can't even trade today. So I'd say let's just watch things develop, and not try to come to hasty conclusions.
Micro Treasury Yield Futures Surpass 30,000 Contracts Traded
https://www.cmegroup.com/media-room..._yieldfuturessurpass30000contractstraded.html
https://www.cmegroup.com/media-room..._yieldfuturessurpass30000contractstraded.html