The micro contracts will be roughly one-tenth of the size of the CME’s existing Treasury futures contracts. Each basis point move in the underlying Treasury will be worth $10.
The new contracts will also be the first at the CME to be based on the so-called “on-the-run” Treasuries, which are the most recently issued and most actively traded Treasuries.
That will make it easier for fixed income professionals to trade the basis between these Treasuries and older issues, which are known as “off-the-runs.”
“We’re giving much greater choice, much greater granularity and the ability to trade that basis between the on-the-runs and the off-the-runs,” Tully said.
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