Micro rate futures

Discussion in 'Financial Futures' started by Real Money, Jul 12, 2021.

  1. 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.
    #21     Aug 16, 2021
  2. SunTrader


    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
    #22     Aug 16, 2021
  3. That's for the Micro 10-year Yield futures, but there is literally zero volume on the 2, 5, and 30-year futures.
    #23     Aug 16, 2021
  4. TWD


    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.
    #24     Aug 16, 2021
  5. Micro Bitcoin and Micro Crude traded well on their first days.
    #25     Aug 16, 2021
  6. SunTrader


    Yield contracts are brand new. Bitcoin and crude futures were around before micros came on the scene.
    #26     Aug 16, 2021
  7. That is true, which is why I (and apparently the wider market) wanted Micro Treasury Notes and Bonds rather than Micro Treasury Yields.
    #27     Aug 16, 2021
  8. TWD


    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.
    #28     Aug 16, 2021
  9. SunTrader


    Agree. Because I sure don't know what the wider market thinks.
    #29     Aug 16, 2021
  10. #30     Aug 24, 2021
    Real Money likes this.