|
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.
|
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 - 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 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 - 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 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.
|
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 |
|
|
|
|
|
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 |
|
|
|
|
|