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

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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 - 3/2024
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 1~303($1946) 2~006($2017) 1~300($1938) 2~006($2020) 1~287($1897) 1~309($1964)
2023 1~166($1519) 1~165($1515) 1~192($1602) 1~221($1690) 1~188($1587) 1~187($1584)
2024 1~051($1159) 1~125($1389) 1~066($1207) 1~122($1382) 1~106($1331) 1~096($1300)

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 - 3/2024
Summary
Item		 Monday
Summary		 Tuesday
Summary		 Wednesday
Summary		 Thursday
Summary		 Friday
Summary		 Yearly
Summary
Range 0~307($959) 1~003($1010) 1~009($1027) 1~018($1055) 1~039($1120) 1~011($1035)
Closed Up 1058(49%) 1218(51%) 1138(48%) 1204(52%) 1193(51%) 5811(50%)
Closed Dn 1048(48%) 1083(46%) 1174(49%) 1075(46%) 1064(46%) 5444(47%)
Closed Uchg 64(3%) 71(3%) 68(3%) 55(2%) 66(3%) 324(3%)
Gapped up 153(7%) 145(6%) 154(6%) 136(6%) 160(7%) 748(6%)
Un-filled Gaps Up 48(31%) 40(28%) 33(21%) 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%
324 5060 658 78 14 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%
4675 673 87 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 - Apr 21, 2023
  Period Low(Jan-Dec) Period High(Jan-Dec) Last Day Average
Year Date Price Date Price Date Price Price
2022 01/03/2022 1.91700 10/24/2022 4.40000 12/30/2022 3.97000 3.11472
2021 01/04/2021 1.63800 03/18/2021 2.50500 12/31/2021 1.90500 2.05463
2020 03/09/2020 0.83700 01/09/2020 2.38200 12/31/2020 1.64600 1.55650
2019 08/28/2019 1.90500 03/01/2019 3.12900 12/31/2019 2.38900 2.57710
2018 01/02/2018 2.76400 11/02/2018 3.45500 12/31/2018 3.02000 3.11369
2017 09/07/2017 2.65100 03/10/2017 3.20100 12/29/2017 2.73900 2.89393
2016 07/08/2016 2.10200 12/16/2016 3.19700 12/30/2016 3.06300 2.59631
2015 01/30/2015 2.22600 06/26/2015 3.25400 12/31/2015 3.01500 2.84364
2014 10/15/2014
12/16/2014		 2.68700 01/02/2014 3.96700 12/31/2014 2.74900 3.33248
2013 05/01/2013 2.81000 12/06/2013 3.97600 12/31/2013 3.96400 3.45091
2012 07/25/2012 2.45200 03/19/2012 3.49000 12/31/2012 2.95200 2.92071
2011 10/04/2011 2.69400 02/09/2011 4.78900 12/30/2011 2.88900 3.90076
2010 08/25/2010 3.46200 04/07/2010 4.85800 12/31/2010 4.36200 4.24929
2009 01/02/2009 2.62000 06/10/2009 5.06600 12/31/2009 4.64100 4.08168
2008 12/18/2008
12/19/2008		 2.51900 06/17/2008 4.81300 12/31/2008 2.69100 4.27226
2007 11/26/2007 4.27900 06/13/2007 5.40800 12/31/2007 4.45900 4.83573
2006 02/10/2006 4.46000 05/12/2006 5.30700 12/29/2006 4.81800 4.88072
2005 06/03/2005 4.15100 03/23/2005 4.93100 12/30/2005 4.54700 4.57007
2004 03/17/2004 4.62000 05/14/2004 5.59700 12/31/2004 4.82200 5.03029
2003 06/16/2003 4.13500 08/14/2003 5.49500 12/31/2003 5.06800 4.92467
2002 09/24/2002 4.60600 03/15/2002 5.87200 12/31/2002 4.78300 5.28383
2001 11/01/2001
11/07/2001		 4.79000 05/15/2001 5.89000 12/31/2001 5.48000 5.49552
2000 12/22/2000 5.40000 01/18/2000 6.75000 12/29/2000 5.46000 5.93829
1999 01/14/1999 5.07000 12/23/1999
12/28/1999
12/31/1999		 6.48000 12/31/1999 6.48000 5.87516
1998 10/05/1998 4.70000 04/29/1998 6.08000 12/31/1998 5.09000 5.57510
1997 12/22/1997 5.89000 04/11/1997
04/14/1997		 7.17000 12/31/1997 5.93000 6.60378
1996 01/03/1996 5.96000 07/05/1996
07/08/1996		 7.19000 12/31/1996 6.65000 6.70648
1995 12/29/1995 5.96000 01/03/1995
01/24/1995		 7.93000 12/29/1995 5.96000 6.87653
1994 01/12/1994 6.17000 11/04/1994
11/07/1994		 8.16000 12/30/1994 7.89000 7.37492
1993 10/15/1993 5.78000 01/12/1993 7.48000 12/31/1993 6.35000 6.59080
1992 09/08/1992 7.23000 04/27/1992 8.10000 12/31/1992 7.40000 7.66464
1991 12/31/1991 7.41000 06/12/1991 8.55000 12/31/1991 7.41000 8.13645
1990 01/02/1990 8.00000 09/24/1990 9.18000 12/31/1990 8.26000 8.60813
1989 08/01/1989
12/18/1989		 7.83000 03/20/1989 9.31000 12/29/1989 7.98000 8.44375
1988 02/02/1988 8.32000 08/25/1988 9.46000 12/30/1988 9.00000 8.96199

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