Moore Research Center, Inc.

  • Increase font size
  • Default font size
  • Decrease font size
Home MRCI Online
Print
New Windows

MRCI's Futures Highlight - 30-Year T-Bonds(CBOT)

MRC Logo
MRCI's Futures Highlight - 30-Year T-Bonds(CBOT)

MRCI hopes this profile of the CBOT 30-Year T-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 barchart

The table below offers a statistical analysis of historical daily trading in the CBOT 30-Year T-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 - 2/2025
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 1~056($1176) 1~074($1232) 1~097($1304) 1~091($1284) 1~104($1324) 1~085($1264)
2025 1~023($1073) 1~058($1180) 1~104($1324) 0~319($997) 1~062($1194) 1~050($1155)

What other characteristics do CBOT 30-Year T-Bonds 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 - 2/2025
Summary
Item		 Monday
Summary		 Tuesday
Summary		 Wednesday
Summary		 Thursday
Summary		 Friday
Summary		 Yearly
Summary
Range 0~308($963) 1~004($1014) 1~010($1032) 1~018($1058) 1~040($1124) 1~012($1039)
Closed Up 1077(49%) 1246(51%) 1158(48%) 1226(52%) 1221(52%) 5928(50%)
Closed Dn 1072(48%) 1103(46%) 1198(49%) 1099(46%) 1082(46%) 5554(47%)
Closed Uchg 65(3%) 71(3%) 69(3%) 55(2%) 67(3%) 327(3%)
Gapped up 154(7%) 145(6%) 154(6%) 136(6%) 160(7%) 749(6%)
Un-filled Gaps Up 48(31%) 40(28%) 33(21%) 35(26%) 62(39%) 218(29%)
Gapped Down 157(7%) 135(6%) 124(5%) 139(6%) 122(5%) 677(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%
327 5163 671 79 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%
4767 690 88 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 T-Bonds futures contracts. Quotes are from daily cash market price activity.

30-Yr Treasury Constant Maturity Rate - Apr 30, 2025
  Period Low(Jan-Dec) Period High(Jan-Dec) Last Day Average
Year Date Price Date Price Date Price Price
2024 09/16/2024 3.94000 04/25/2024
12/27/2024		 4.82000 12/31/2024 4.78000 4.40880
2023 01/18/2023
04/06/2023		 3.54000 10/19/2023 5.11000 12/29/2023 4.03000 4.09220
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

The table below represents Scenario Analysis for the July 30-Year T-Bonds(CBOT) futures contracts.

ScenarioSM Study for September 30-Year T-Bonds(CBOT) as of Apr 21, 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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 45 45 45 45 45 45 45 45
Closed Higher   15 25 18 25 22 18 21 22 29 26 27
Exceeded High   14 21 17 14 16 12 19 22 22 22 20
Scenario Percentage   93% 84% 94% 56% 73% 67% 90% 100% 76% 85% 74%
Avg Max Increase   4.94% 3.77% 3.98% 4.53% 3.96% 6.00% 5.75% 4.23% 4.77% 4.35% 2.36%
Max Increase   12.38% 11.29% 14.46% 17.74% 12.45% 22.19% 13.83% 9.25% 12.19% 11.76% 5.55%
Avg Days To Max Increase   16 15 17 15 17 17 16 18 17 10 10
Avg Max Decline   -0.65% -1.26% -1.56% -0.82% -1.61% -0.94% -0.88% -0.80% -1.12% -0.69% -0.70%
Max Decline   -2.49% -5.56% -5.39% -2.26% -4.55% -3.15% -2.47% -2.27% -4.58% -3.52% -1.95%
Avg Days to Max Decline   5 8 8 9 12 5 7 6 9 3 2
2023 Contract Condition         Yes   Yes          
Action         No   Yes          
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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 45 45 45 45 45 45 45 45
Closed Lower   14 6 14 20 23 27 23 23 16 18 18
Penetrated Low   9 2 10 16 20 18 19 15 9 13 10
Scenario Percentage   64% 33% 71% 80% 87% 67% 83% 65% 56% 72% 56%
Avg Max Decline   2.16% 3.65% 3.87% 5.01% 3.74% 4.28% 4.38% 4.12% 4.11% 3.54% 2.95%
Max Decline   3.81% 4.26% 7.43% 15.40% 11.89% 11.64% 9.68% 6.81% 11.50% 8.04% 5.94%
Avg Days To Max Decline   14 24 22 18 19 17 15 14 13 14 12
Avg Max Increase   -1.27% -2.38% -1.07% -0.62% -1.33% -1.10% -0.66% -0.86% -0.93% -1.91% -0.39%
Max Increase   -4.32% -3.09% -3.84% -2.67% -6.86% -5.19% -2.78% -3.05% -3.63% -5.12% -1.18%
Avg Days to Max Increase   14 22 12 12 10 11 5 3 6 10 3
2023 Contract Condition           Yes   Yes        
Action           Yes            
High       130~080 134~140 134~140 133~170 134~150        
Low       126~180 128~000 125~000 123~040 129~090        
Close/Last       126~310 132~090 125~090 131~080 130~040        

Banner

Newsflash

Central banks bought big, but the COT report waves a red flag. Seasonal gains await—Market players, read or regret! https://tinyurl.com/4antcta9