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MRCI's Futures Highlight - 10-Yr T-Notes(CBOT)

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MRCI's Futures Highlight - 10-Yr T-Notes(CBOT)

MRCI hopes this profile of the CBOT 10-Yr T-Notes futures contract, with its statistics and feature studies, will help you derive wise trading decisions from its presentation of long-term perspective, computer analysis, and historical background. This additional history is designed to complement the body of knowledge contained in any seasonal patterns and strategies published. The weekly and monthly charts on this page depict prices for nearby contracts, which most closely reflect the underlying cash market.

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved
Some data provided by barchart

The table below offers a statistical analysis of historical daily trading in the CBOT 10-Yr T-Notes futures. The average range for each day of the week in each year and overall has been computed for purposes of comparison and further insight into the dynamics of this market. (from futstats, but I don't currently have it available for include)

MRCI's Nearby Futures Range Detail for 10-Year T-Notes(CBOT)
from 1/1982 - 5/2024
Calendar
Year		 Monday
Avg Rng		 Tuesday
Avg Rng		 Wednesday
Avg Rng		 Thursday
Avg Rng		 Friday
Avg Rng		 Yearly
Avg Rng
1982 0~242($755) 0~216($675) 0~212($663) 0~221($692) 0~228($713) 0~223($698)
1983 0~180($562) 0~152($474) 0~144($449) 0~147($459) 0~144($449) 0~153($477)
1984 0~145($453) 0~135($423) 0~153($477) 0~142($444) 0~188($588) 0~153($477)
1985 0~168($523) 0~168($526) 0~170($533) 0~177($554) 0~220($687) 0~181($564)
1986 0~236($737) 0~237($741) 0~241($752) 0~248($774) 0~258($805) 0~244($762)
1987 0~218($681) 0~239($746) 0~208($649) 0~224($699) 0~235($735) 0~225($702)
1988 0~143($448) 0~153($479) 0~163($511) 0~146($458) 0~207($647) 0~163($509)
1989 0~139($434) 0~138($431) 0~131($410) 0~145($455) 0~218($681) 0~154($483)
1990 0~152($474) 0~145($452) 0~146($455) 0~150($470) 0~189($591) 0~156($489)
1991 0~110($345) 0~117($366) 0~130($406) 0~143($447) 0~183($570) 0~137($427)
1992 0~148($463) 0~179($561) 0~161($504) 0~181($565) 0~204($636) 0~175($546)
1993 0~153($477) 0~159($498) 0~137($427) 0~156($488) 0~200($626) 0~161($503)
1994 0~160($499) 0~182($569) 0~183($571) 0~192($600) 0~243($760) 0~193($602)
1995 0~132($411) 0~162($507) 0~166($519) 0~188($587) 0~231($722) 0~177($553)
1996 0~130($407) 0~157($490) 0~160($501) 0~177($554) 0~238($745) 0~174($542)
1997 0~107($334) 0~150($469) 0~133($416) 0~151($472) 0~185($577) 0~146($455)
1998 0~163($509) 0~143($446) 0~156($487) 0~167($521) 0~195($608) 0~164($513)
1999 0~150($469) 0~164($513) 0~154($481) 0~181($565) 0~207($648) 0~172($536)
2000 0~157($492) 0~175($547) 0~176($549) 0~200($626) 0~210($657) 0~184($576)
2001 0~179($559) 0~220($689) 0~235($734) 0~252($789) 0~244($761) 0~227($709)
2002 0~211($659) 0~253($789) 0~264($825) 0~268($838) 0~265($828) 0~253($790)
2003 0~262($819) 0~282($883) 0~261($815) 0~309($964) 0~275($858) 0~278($868)
2004 0~162($506) 0~186($581) 0~205($639) 0~187($585) 0~294($919) 0~207($648)
2005 0~136($426) 0~168($525) 0~170($531) 0~169($529) 0~194($608) 0~168($526)
2006 0~105($327) 0~136($425) 0~142($443) 0~135($423) 0~159($495) 0~136($425)
2007 0~157($490) 0~169($528) 0~184($576) 0~193($602) 0~202($630) 0~181($567)
2008 1~044($1137) 1~049($1154) 1~052($1162) 1~051($1160) 1~071($1222) 1~053($1167)
2009 0~271($848) 0~292($914) 1~008($1023) 1~005($1017) 1~014($1044) 0~310($970)
2010 0~212($661) 0~252($788) 0~249($779) 0~253($791) 0~262($818) 0~246($769)
2011 0~241($752) 0~264($824) 0~261($814) 0~277($867) 0~278($869) 0~265($827)
2012 0~165($517) 0~172($539) 0~191($597) 0~178($556) 0~205($639) 0~182($570)
2013 0~173($542) 0~171($535) 0~220($688) 0~198($620) 0~232($725) 0~199($622)
2014 0~152($475) 0~156($486) 0~202($632) 0~187($583) 0~187($583) 0~177($553)
2015 0~207($646) 0~225($705) 0~225($703) 0~224($701) 0~238($743) 0~224($700)
2016 0~175($548) 0~185($578) 0~211($659) 0~201($627) 0~226($707) 0~200($625)
2017 0~133($415) 0~151($473) 0~168($525) 0~142($443) 0~154($480) 0~150($468)
2018 0~124($386) 0~138($433) 0~150($470) 0~140($436) 0~139($435) 0~138($433)
2019 0~160($500) 0~165($514) 0~171($533) 0~213($665) 0~187($585) 0~179($560)
2020 0~195($609) 0~192($600) 0~177($553) 0~176($550) 0~203($634) 0~188($588)
2021 0~166($517) 0~154($482) 0~179($559) 0~175($548) 0~184($575) 0~172($537)
2022 0~293($914) 0~313($978) 0~314($983) 1~003($1011) 0~290($907) 0~307($960)
2023 0~239($745) 0~249($779) 0~269($840) 0~272($851) 0~272($849) 0~261($815)
2024 0~180($563) 0~200($625) 0~207($646) 0~198($619) 0~227($708) 0~203($634)

What other characteristics do CBOT 10-Yr T-Notes futures exhibit for various days of the week? We ran various studies for the last 180 calendar days of trading prior to trading prior to expiration for each contract. (from futstats, but I don't currently have it available for include)

MRCI's Nearby Futures Summary for 10-Year T-Notes(CBOT)
from 1/1982 - 5/2024
Summary
Item		 Monday
Summary		 Tuesday
Summary		 Wednesday
Summary		 Thursday
Summary		 Friday
Summary		 Yearly
Summary
Range 0~178($557) 0~191($598) 0~197($616) 0~202($632) 0~223($698) 0~199($621)
Closed Up 948(48%) 1112(51%) 1068(49%) 1071(50%) 1096(52%) 5295(50%)
Closed Dn 941(48%) 968(45%) 1007(47%) 985(46%) 980(46%) 4881(46%)
Closed Uchg 79(4%) 81(4%) 89(4%) 67(3%) 40(2%) 356(3%)
Gapped up 125(6%) 124(6%) 132(6%) 113(5%) 115(5%) 609(6%)
Un-filled Gaps Up 40(32%) 27(22%) 20(15%) 27(24%) 40(35%) 154(25%)
Gapped Down 141(7%) 105(5%) 87(4%) 101(5%) 97(5%) 531(5%)
Un-filled Gaps Down 42(30%) 21(20%) 17(20%) 29(29%) 31(32%) 140(26%)

Daily Percent Change Summary for 10-Year T-Notes(CBOT)

UNCH		 >0%-
<1%		 +1%-
<2%		 +2%-
<3%		 +3%-
<4%		 +4%-
<5%		 +5%-
<6%		 +6%-
<7%		 +7%-
<8%		 +8%-
<9%		 +9%-
<10%		 +10%-
<20%
>+20%
356 5131 156 6 2 0 0 0 0 0 0 0 0
<0%-
>-1%		 -1%-
>-2%		 -2%-
>-3%		 -3%-
>-4%		 -4%-
>-5%		 -5%-
>-6%		 -6%-
>-7%		 -7%-
>-8%		 -8%-
>-9%		 -9%-
>-10%		 -10%-
>-20%
<-20%
4723 156 2 0 0 0 0 0 0 0 0 0

The table below represents yearly low, high, last yield in the cash market for the CBOT 10-Yr T-Notes futures contracts. Quotes are from daily cash market price activity.

10-Yr Treasury Constant Maturity Rate - Nov 30, 2023
  Period Low(Jan-Dec) Period High(Jan-Dec) Last Day Average
Year Date Price Date Price Date Price Price
2022 01/03/2022 1.53300 10/24/2022 4.25000 12/30/2022 3.88000 2.95384
2021 01/04/2021 0.90700 03/30/2021 1.76500 12/31/2021 1.51200 1.44114
2020 03/09/2020 0.39800 01/02/2020 1.90300 12/31/2020 0.91700 0.88370
2019 09/03/2019 1.42900 01/18/2019 2.79900 12/31/2019 1.91900 2.13549
2018 01/02/2018 2.42500 10/05/2018 3.24800 12/31/2018 2.68600 2.91275
2017 09/07/2017 2.03400 03/13/2017 2.61500 12/29/2017 2.40500 2.32811
2016 07/06/2016 1.33600 12/15/2016 2.62100 12/30/2016 2.44600 1.83504
2015 01/30/2015 1.65100 06/10/2015
06/26/2015		 2.48900 12/31/2015 2.26900 2.13406
2014 10/15/2014 1.87800 01/02/2014 3.03400 12/31/2014 2.17000 2.52702
2013 05/01/2013 1.61000 12/31/2013 3.03600 12/31/2013 3.02600 2.34062
2012 07/24/2012 1.39400 03/20/2012 2.39700 12/31/2012 1.75600 1.78606
2011 09/23/2011 1.69600 02/09/2011 3.74400 12/30/2011 1.87100 2.75785
2010 10/08/2010 2.33400 04/05/2010 4.01300 12/31/2010 3.30500 3.19869
2009 01/02/2009 2.15900 06/11/2009 4.01400 12/31/2009 3.84300 3.25096
2008 12/18/2008 2.03800 06/13/2008 4.32400 12/31/2008 2.24400 3.64264
2007 12/04/2007 3.84000 06/13/2007 5.31600 12/31/2007 4.03500 4.62632
2006 01/18/2006 4.28900 06/26/2006
06/28/2006
06/29/2006		 5.24500 12/29/2006 4.71000 4.79112
2005 06/03/2005 3.80300 03/23/2005 4.69300 12/30/2005 4.39500 4.28271
2004 03/17/2004 3.65000 05/14/2004 4.90400 12/31/2004 4.21600 4.25880
2003 06/16/2003 3.07400 08/14/2003 4.66800 12/31/2003 4.25700 4.00067
2002 10/10/2002 3.55900 04/02/2002 5.47500 12/31/2002 3.81800 4.58701
2001 11/07/2001 4.22000 05/29/2001
05/30/2001		 5.54000 12/31/2001 5.07000 5.02279
2000 12/22/2000 5.02000 01/20/2000
01/21/2000		 6.79000 12/29/2000 5.12000 6.02587
1999 01/14/1999 4.63000 12/31/1999 6.45000 12/31/1999 6.45000 5.64984
1998 10/05/1998 4.16000 04/29/1998 5.81000 12/31/1998 4.65000 5.25885

The table below represents Scenario Analysis for the March 10-Yr T-Notes(CBOT) futures contracts.

ScenarioSM Study for March 10-Year T-Notes(CBOT) as of Nov 29, 2023
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Feb Feb Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 22 28 37 41 41 41 41 41 41 41
Closed Higher   10 11 16 24 28 29 21 23 20 28 20
Exceeded High   10 10 12 21 25 25 18 21 18 19 16
Scenario Percentage   100% 91% 75% 88% 89% 86% 86% 91% 90% 68% 80%
Avg Max Increase   3.57% 2.63% 3.06% 2.78% 3.04% 2.57% 2.76% 2.57% 2.89% 2.63% 1.55%
Max Increase   9.87% 5.99% 5.18% 9.68% 12.83% 7.97% 7.51% 6.39% 8.15% 9.27% 4.37%
Avg Days To Max Increase   14 21 21 15 13 16 14 16 18 11 9
Avg Max Decline   -0.11% -0.22% -0.59% -0.24% -0.64% -0.58% -0.60% -0.71% -1.01% -0.79% -0.26%
Max Decline   -0.40% -0.99% -2.04% -2.11% -2.14% -1.38% -2.27% -2.19% -3.13% -2.57% -1.34%
Avg Days to Max Decline   3 10 11 4 10 9 8 8 9 8 3
2024 Contract Condition                 Yes      
Action                        
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Feb Feb Feb Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 22 28 37 41 41 41 41 41 41 41
Closed Lower   9 11 11 13 13 12 20 18 20 13 21
Penetrated Low   7 8 6 8 10 9 14 14 12 10 18
Scenario Percentage   78% 73% 55% 62% 77% 75% 70% 78% 60% 77% 86%
Avg Max Decline   3.46% 2.58% 1.87% 2.04% 2.65% 2.32% 1.87% 2.01% 2.49% 1.82% 1.45%
Max Decline   6.91% 5.27% 6.46% 5.88% 8.03% 4.52% 5.11% 4.49% 4.53% 3.53% 2.67%
Avg Days To Max Decline   11 13 10 17 20 15 14 13 20 13 11
Avg Max Increase   -0.20% -0.59% -0.44% -0.74% -0.50% -0.86% -0.51% -0.61% -0.95% -0.85% -0.41%
Max Increase   -0.68% -1.40% -1.45% -2.04% -1.66% -2.89% -1.64% -1.35% -3.95% -1.72% -1.29%
Avg Days to Max Increase   14 6 9 8 11 5 7 3 11 10 4
2024 Contract Condition         Yes Yes Yes Yes        
Action         Yes Yes Yes Not Yet        
High       114~190 114~100 112~235 111~220 108~240 110~155      
Low       113~125 111~260 110~030 107~230 105~215 106~050      
Close/Last       113~165 112~180 111~200 108~150 106~145 110~100      

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