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

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 Commodity Research Bureau

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 - 8/2023
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	1~169($1529)	1~171($1535)	1~170($1532)	1~210($1655)	1~199($1623)	1~184($1576)

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 - 8/2023
Summary Item	Monday Summary	Tuesday Summary	Wednesday Summary	Thursday Summary	Friday Summary	Yearly Summary
Range	0~305($954)	1~001($1005)	1~007($1020)	1~015($1048)	1~037($1116)	1~009($1030)
Closed Up	1049(49%)	1201(51%)	1118(48%)	1190(52%)	1178(51%)	5736(50%)
Closed Dn	1033(48%)	1070(46%)	1164(50%)	1061(46%)	1050(46%)	5378(47%)
Closed Uchg	63(3%)	71(3%)	68(3%)	54(2%)	65(3%)	321(3%)
Gapped up	153(7%)	145(6%)	154(7%)	136(6%)	160(7%)	748(7%)
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%
321	5002	641	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%
	4630	652	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 T-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

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

Scenario^SM 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

Dec

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Tested Years

Closed Lower

Penetrated Low

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

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

2023 Contract Condition

Yes

Action

Yes

High

130~080

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

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