MRCI's Futures Highlight - 30-Year Treasury Bonds(CBOT)

MRCI's Futures Highlight - 30-Year Treasury Bonds(CBOT)

MRCI hopes this profile of the CBOT 30-Year Treasury Bonds 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 Commodity Research Bureau

The table below offers a statistical analysis of historical daily trading in the CBOT 30-Year Treasury Bonds 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 30-Year T-Bonds(CBOT) from 1/1978 - 5/2022
Calendar Year	Monday Avg Rng	Tuesday Avg Rng	Wednesday Avg Rng	Thursday Avg Rng	Friday Avg Rng	Yearly Avg Rng
1978	0~097($303)	0~083($261)	0~110($344)	0~095($298)	0~117($365)	0~101($315)
1979	0~153($477)	0~154($481)	0~168($526)	0~156($488)	0~179($561)	0~162($507)
1980	1~052($1163)	1~069($1214)	1~035($1109)	1~071($1222)	1~094($1293)	1~064($1199)
1981	1~052($1164)	0~283($886)	0~277($865)	0~277($867)	0~273($853)	0~296($925)
1982	0~312($974)	0~249($778)	0~240($751)	0~249($779)	0~236($736)	0~257($802)
1983	0~210($658)	0~188($587)	0~177($552)	0~184($575)	0~173($542)	0~186($581)
1984	0~161($504)	0~155($485)	0~177($555)	0~166($519)	0~205($640)	0~173($541)
1985	0~186($580)	0~183($573)	0~191($596)	0~193($602)	0~239($748)	0~198($620)
1986	1~054($1169)	1~043($1135)	1~036($1114)	1~048($1149)	1~053($1166)	1~047($1146)
1987	0~299($933)	1~001($1004)	0~285($889)	0~293($916)	1~004($1014)	0~304($951)
1988	0~203($633)	0~205($639)	0~224($701)	0~200($624)	0~273($853)	0~221($691)
1989	0~170($530)	0~183($572)	0~162($507)	0~181($566)	0~264($825)	0~192($601)
1990	0~209($652)	0~200($624)	0~204($636)	0~205($642)	0~268($839)	0~217($679)
1991	0~149($467)	0~163($511)	0~179($561)	0~199($623)	0~248($776)	0~188($588)
1992	0~167($521)	0~202($631)	0~183($573)	0~206($643)	0~243($760)	0~200($625)
1993	0~223($695)	0~228($714)	0~201($627)	0~233($729)	0~281($878)	0~233($728)
1994	0~218($680)	0~256($799)	0~247($771)	0~263($823)	1~006($1020)	0~263($822)
1995	0~193($602)	0~231($721)	0~221($690)	0~262($819)	0~312($974)	0~245($765)
1996	0~198($618)	0~231($723)	0~244($762)	0~260($813)	1~018($1056)	0~256($798)
1997	0~159($498)	0~221($689)	0~209($654)	0~230($720)	0~267($836)	0~218($682)
1998	0~272($849)	0~238($743)	0~234($730)	0~255($797)	0~274($856)	0~254($793)
1999	0~228($713)	0~248($775)	0~233($728)	0~276($863)	0~302($943)	0~258($806)
2000	0~236($736)	0~264($824)	0~272($851)	0~299($936)	0~300($938)	0~275($859)
2001	0~266($830)	1~001($1003)	1~024($1074)	1~031($1097)	1~031($1097)	1~008($1024)
2002	0~311($972)	1~053($1165)	1~065($1202)	1~065($1204)	1~076($1239)	1~051($1160)
2003	1~085($1266)	1~119($1371)	1~083($1259)	1~149($1464)	1~094($1294)	1~106($1331)
2004	0~264($826)	0~289($903)	1~000($1001)	0~295($921)	1~138($1430)	1~006($1018)
2005	0~234($732)	0~283($885)	0~288($899)	0~278($868)	0~316($988)	0~281($877)
2006	0~176($551)	0~227($709)	0~233($728)	0~229($717)	0~260($813)	0~226($708)
2007	0~246($768)	0~247($773)	0~276($862)	0~297($927)	0~309($965)	0~276($861)
2008	1~205($1642)	1~198($1618)	1~221($1690)	1~243($1760)	1~218($1681)	1~217($1678)
2009	1~161($1505)	1~189($1592)	1~250($1781)	1~246($1768)	1~240($1749)	1~218($1680)
2010	1~044($1138)	1~123($1386)	1~122($1381)	1~101($1317)	1~122($1382)	1~104($1324)
2011	1~162($1507)	1~187($1585)	1~199($1623)	1~203($1634)	1~173($1539)	1~185($1579)
2012	1~059($1184)	1~075($1235)	1~121($1377)	1~094($1293)	1~150($1469)	1~100($1314)
2013	1~031($1096)	1~027($1083)	1~087($1271)	1~058($1182)	1~117($1365)	1~064($1200)
2014	0~288($898)	0~304($951)	1~023($1072)	1~040($1124)	1~028($1088)	1~009($1028)
2015	1~254($1794)	1~269($1841)	1~235($1736)	1~269($1839)	1~273($1853)	1~260($1812)
2016	1~146($1456)	1~204($1636)	1~241($1752)	1~251($1784)	1~265($1827)	1~223($1696)
2017	0~320($999)	1~074($1230)	1~083($1260)	1~038($1118)	1~036($1112)	1~047($1147)
2018	0~300($939)	1~013($1041)	1~037($1115)	1~020($1064)	1~013($1040)	1~013($1041)
2019	1~068($1212)	1~065($1203)	1~066($1206)	1~147($1458)	1~081($1252)	1~085($1266)
2020	1~286($1895)	1~280($1875)	1~255($1796)	1~248($1776)	1~289($1903)	1~271($1848)
2021	1~093($1292)	1~090($1280)	1~127($1396)	1~120($1375)	1~144($1449)	1~115($1359)
2022	2~008($2024)	1~308($1961)	1~292($1913)	1~294($1919)	1~300($1938)	1~304($1949)

What other characteristics do 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 30-Year T-Bonds(CBOT) from 1/1978 - 5/2022
Summary Item	Monday Summary	Tuesday Summary	Wednesday Summary	Thursday Summary	Friday Summary	Yearly Summary
Range	0~299($934)	0~314($982)	0~320($999)	1~008($1024)	1~031($1098)	1~003($1008)
Closed Up	1032(49%)	1169(51%)	1081(47%)	1158(52%)	1153(52%)	5593(50%)
Closed Dn	993(48%)	1037(46%)	1134(50%)	1027(46%)	1009(45%)	5200(47%)
Closed Uchg	63(3%)	70(3%)	68(3%)	54(2%)	65(3%)	320(3%)
Gapped up	153(7%)	145(6%)	153(7%)	135(6%)	160(7%)	746(7%)
Un-filled Gaps Up	48(31%)	40(28%)	33(22%)	35(26%)	62(39%)	218(29%)
Gapped Down	156(7%)	135(6%)	124(5%)	139(6%)	122(5%)	676(6%)
Un-filled Gaps Down	67(43%)	42(31%)	30(24%)	34(24%)	44(36%)	217(32%)

Daily Percent Change Summary for 30-Year T-Bonds(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%
320	4895	608	76	13	1	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%
	4490	615	86	8	1	0	0	0	0	0	0	0

The table below represents yearly low, high, last yield in the cash market for the CBOT 30-Year Treasury Bonds futures contracts. Quotes are from daily cash market price activity.

30-Yr Treasury Constant Maturity Rate - Jun 08, 2020
	Period Low(Jan-Dec)		Period High(Jan-Dec)		Last Day		Average
Year	Date	Price	Date	Price	Date	Price	Price
2019	08/28/2019	1.90500	03/01/2019	3.12900	12/31/2019	2.38900	2.57804
2018	01/02/2018	2.76400	11/02/2018	3.45500	12/31/2018	3.02000	3.11422
2017	09/07/2017	2.65100	03/10/2017	3.20100	12/29/2017	2.73900	2.89426
2016	07/08/2016	2.10200	12/16/2016	3.19700	12/30/2016	3.06300	2.59444
2015	01/30/2015	2.22600	06/26/2015	3.25400	12/31/2015	3.01500	2.84306
2014	10/15/2014 12/16/2014	2.68700 2.68700	01/02/2014	3.96700	12/31/2014	2.74900	3.33500
2013	05/01/2013	2.81000	12/06/2013	3.97600	12/31/2013	3.96400	3.44906
2012	07/25/2012	2.45200	03/19/2012	3.49000	12/31/2012	2.95200	2.91954
2011	10/04/2011	2.69400	02/09/2011	4.78900	12/30/2011	2.88900	3.90436
2010	08/25/2010	3.46200	04/07/2010	4.85800	12/31/2010	4.36200	4.24870
2009	01/02/2009	2.62000	06/10/2009	5.06600	12/31/2009	4.64100	4.07939
2008	12/18/2008 12/19/2008	2.51900 2.51900	06/17/2008	4.81300	12/31/2008	2.69100	4.27748
2007	11/26/2007	4.27900	06/13/2007	5.40800	12/31/2007	4.45900	4.83766
2006	02/10/2006	4.46000	05/12/2006	5.30700	12/29/2006	4.81800	4.88112
2005	06/03/2005	4.15100	03/23/2005	4.93100	12/30/2005	4.54700	4.57013
2004	03/17/2004	4.62000	05/14/2004	5.59700	12/31/2004	4.82200	5.03114
2003	06/16/2003	4.13500	08/14/2003	5.49500	12/31/2003	5.06800	4.92369
2002	09/24/2002	4.60600	03/15/2002	5.87200	12/31/2002	4.78300	5.28513
2001	11/01/2001 11/07/2001	4.79000 4.79000	05/15/2001	5.89000	12/31/2001	5.48000	5.49526
2000	12/22/2000	5.40000	01/18/2000	6.75000	12/29/2000	5.46000	5.93980
1999	01/14/1999	5.07000	12/23/1999 12/28/1999 12/31/1999	6.48000 6.48000 6.48000	12/31/1999	6.48000	5.87223
1998	10/05/1998	4.70000	04/29/1998	6.08000	12/31/1998	5.09000	5.57680
1997	12/22/1997	5.89000	04/11/1997 04/14/1997	7.17000 7.17000	12/31/1997	5.93000	6.60676
1996	01/03/1996	5.96000	07/05/1996 07/08/1996	7.19000 7.19000	12/31/1996	6.65000	6.70721
1995	12/29/1995	5.96000	01/03/1995 01/24/1995	7.93000 7.93000	12/29/1995	5.96000	6.88016
1994	01/12/1994	6.17000	11/04/1994 11/07/1994	8.16000 8.16000	12/30/1994	7.89000	7.37269

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