The March-June 2015 Treasury Bond Futures Roll: Mind the Gap

  • 16 Jan 2015
  • By CME Group
March-June 2015 Roll Analysis

March-June 2015 Roll Analysis

 This paper assesses the t-bond rollover and includes a discussion of the new 3:2 ratio spread with examples of pricing and rolling positions.

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Disclaimer: This information was obtained from sources believed to be reliable, but we do not guarantee its accuracy. Neither the information nor any opinion expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts.

Additional Information

T-Bond Mar 15 - Jun 15 Roll FAQ
Pace of the Roll
Special Executive Report

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