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Reading Treasury Note Option Strike Prices as Futures Prices

Article Quant Q&A · Author: Vladimir
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Summary

The note explains the notation used for CME 10-year Treasury note option strikes. A quoted strike of 1300 represents 130.0 in futures-price terms, while 1305 represents 130.5; the decimal is implicit. It also states that the minimum strike increment is 0.5. This resolves how to interpret the strike number when comparing it with a quoted Treasury futures price.

The document gives a brief convention rather than a conversion formula or a full worked mapping from a particular option contract to its underlying futures contract. Its example mentions market prices and a listed strike but does not provide further calculations. The explanation is specific to the Treasury note options notation described, so it should not be assumed to cover every futures option market.

Key ideas

  • A Treasury note option strike such as 1300 denotes a futures price of 130.0.
  • The decimal point is implicit in the strike notation.
  • The stated minimum strike increment is 0.5.
  • The note explains quote interpretation but does not give a broader pricing method.

Tags

Fixed incomeFuturesOptions
Full text
# How to convert bond options strikes to future prices


# How to convert bond options strikes to future prices












CME, 10 year Note Call Strike 1300 How to convert this strike to future price? (today's open at 131'100)

For example we can take current prices EOD data for example chart on CMEgroup: http://www.cmegroup.com/trading/interest-rates/us-treasury/10-year-us-treasury-note.html

Yesterday Close: 130'24'0 The nearest Option strike for this price will be: Link : http://www.cmegroup.com/daily_bulletin/current/Section42_10YrNote_5yrNote_2yrNote_30YrBond_Options.pdf

May Strike: 1300?

## Answer by nbbo2 (score 1)

https://quant.stackexchange.com/a/24573

Look at the CMEgroup web site. 1300 means 130.0, 1305 would mean 130.5, etc. The decimal point is implicit. The minimum increment in the strike is 0.5.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.