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Bond futures still are [1]: * Minimum Price Fluctuation: One thirty-second (1/32) of one point ($31.25), except for intermonth spreads, where the minimum price
by twic 7y ago
Bond futures still are [1]:
* Minimum Price Fluctuation: One thirty-second (1/32) of one point ($31.25), except for intermonth spreads, where the minimum price fluctuation shall be one-quarter of one thirty-second of one point ($7.8125 per contract).*
As are some bond-like derivatives, eg MAC swap futures, which are quoted in quarters of thirty-seconds [2]. The way prices are written out is maddening - consider yesterday's settle [3]:
107'247
This means 107 and 24.75 thirty-seconds!
[1] https://www.cmegroup.com/trading/interest-rates/us-treasury/30-year-us-treasury-bond_contract_specifications.html https://www.cmegroup.com/trading/interest-rates/us-treasury/...
[2] https://www.cmegroup.com/trading/interest-rates/swap-futures/5-year-usd-mac-swap_contract_specifications.html https://www.cmegroup.com/trading/interest-rates/swap-futures...
[3] https://www.cmegroup.com/trading/interest-rates/swap-futures/5-year-usd-mac-swap_quotes_globex.html https://www.cmegroup.com/trading/interest-rates/swap-futures...