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Marché
Rapport
Unité

COT US 2Y Note (ZT)

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 US 2Y Note (ZT) futures contract?

2-Year T-Note (ZT)

Satellite of US 10Y Note (ZN)

A long means…

Exposure to a rise in the 2-Year T-Note futures price. When the contract rises, deliverable-basket yields fall.

What is this?

The 2-year T-Note is the CBOT future on the short end of coupon notes: original issues of at most five years and three months, remaining maturity of at least one year and nine months and at most two years. It is a coupon Treasury, not overnight. The price tracks the cheapest-to-deliver. When the contract rises, those yields fall. Asset managers take the shortest note duration here; dealers hedge their two-year inventory.

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

Pitfalls

  • Face value is $200,000, not $100,000 (ZF / ZN / TN).
  • Not Fed Funds futures (ZQ) and not SOFR.
  • Long the price = short 2-year yields.

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.