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COT Ultra 10Y Note (TN)

Période
Échelle

As-of mardi · close vendredi · source CFTC

Long vs Short

Long et short en % d’OI (catégorie focus)

Δ 4 semaines

Variation du net vs le rapport d’il y a 4 semaines

Cette semaine

Catégorie Long Short Spreading Net Δ Long Δ Short Δ Net % OI long % OI short

Historique

Rates · Treasuries · CBOT

What is the Ultra 10Y Note (TN) futures contract?

Ultra 10-Year T-Note (TN)

A long means…

Exposure to a rise in the Ultra 10-Year futures price. When the contract rises, yields around ten years fall.

What is this?

The Ultra 10-Year is the CBOT future whose basket targets the 10-year point: original-issue 10-year notes with remaining maturity of at least nine years and five months. The so-called 10-Year Note delivers a shorter basket — six years and six months to less than eight years. The price tracks the cheapest-to-deliver. When the contract rises, yields around ten years fall. Asset managers take 10-year duration here; dealers hedge cash 10-year notes. “Ultra” is that duration, not more liquidity.

At expiry, Treasury notes are delivered by book-entry transfer. Most positions are closed or rolled beforehand.

Pitfalls

  • Not the liquid US 10Y Note (ZN, 043602) — different contract, different COT line.
  • Not the 30-year T-Bond (ZB) and not the Ultra Bond (UB).
  • “Ultra” means longer duration than the 10-year Note, not “more liquid”.
  • Long the price = short 10-year yields, not “yields are going up”.

Univers LIX

Le positionnement n’est pas le risque

Le COT décrit qui est positionné. Le LIX décrit le niveau de risque de marché — 12 indicateurs, hors COT.