Min Tick Size Increase for 30-Year T-Bond Futures

Reminder: Minimum Tick Size Increase for 30-Year T-Bond Futures

On Sunday, August 30, 2009 (trade date Monday, August 31, 2009) the minimum tick size for 30-Year U.S. Treasury Bond futures will increase from ½ of 1/32nd of a point to 1/32nd ($31.25). The change will be applied to all expiration months. The minimum trading increments for futures intermonth and intercommodity spreads, as well as options, will be unchanged. This tick increase does not impact any other Treasury futures contracts.

As a result of the tick size change, CME Group will modify the T-bond futures settlement procedure for Friday, August 28, 2009. In order to ensure that Friday settlement prices are in increments of a full 1/32nd , CME Group will calculate outright contract settlement prices by applying current settlement procedures and rounding them to the nearest 1/32nd price increment.

Additionally, customers are asked to cancel all 30-Year T-Bond outright futures Good Till Cancel (GTC) and Good Till Date (GTD) orders by 4:03 p.m. CT on Friday, August 28, 2009. After 4:05 p.m. CT on Friday, August 28, 2009 all remaining 30-Year T-Bond outright futures GTC and GTD orders will be cancelled by the CME Globex Control Center (GCC). 30-Year T-Bond outright futures GTC and GTD orders may be re-entered during the Pre-Open period (4:15 p.m. - 5:30 p.m. CT) on Sunday, August 30, 2009.

I enjoyed the $15.625 ticks while they lasted....

Thu May 06 12:29:24 BST 2010

This is for anyone that may be interested.

On Oct 21, 2009 I asked the CME:

why did CME increase the tick size of 30 Year bond, after an initial decision to reduce it to 1/2 tick?

The response I got (forwarded from the interest rate team):

The diminished liquidity at the long end of the Treasury curve was a significant factor in the decision to increase the tick size. We also conducted a broad survey of large participants in the Treasury futures markets, and the majority of them favored increasing it. The larger tick has clearly contributed to larger size available in the T Bond order book.

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