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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 - 7/2020
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 2~168($2523) 2~137($2428) 2~050($2155) 2~034($2107) 2~152($2476) 2~106($2331)

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 - 7/2020
Summary
Item
Monday
Summary
Tuesday
Summary
Wednesday
Summary
Thursday
Summary
Friday
Summary
Yearly
Summary
Range 0~292($912) 0~308($963) 0~313($977) 1~001($1003) 1~026($1080) 0~316($988)
Closed Up 992(50%) 1127(52%) 1038(47%) 1109(52%) 1110(52%) 5376(51%)
Closed Dn 945(47%) 986(45%) 1081(49%) 981(46%) 961(45%) 4954(47%)
Closed Uchg 62(3%) 66(3%) 67(3%) 54(3%) 64(3%) 313(3%)
Gapped up 150(8%) 145(7%) 153(7%) 135(6%) 160(7%) 743(7%)
Un-filled Gaps Up 47(31%) 40(28%) 33(22%) 35(26%) 62(39%) 217(29%)
Gapped Down 156(8%) 134(6%) 122(6%) 139(6%) 122(6%) 673(6%)
Un-filled Gaps Down 67(43%) 42(31%) 30(25%) 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%
313 4695 591 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%
4266 594 85 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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