Interest Rate Futures

The 30-Year Treasury Bond futures contract is the long end of the US yield curve. ZB is highly sensitive to long-term inflation expectations, Federal Reserve policy direction, and foreign central bank demand for US Treasuries. The 30-year bond moves in larger dollar amounts per tick than shorter-duration contracts, making it a high-conviction instrument for rate traders. Major economic reports — particularly CPI and non-farm payrolls — can cause significant daily price swings.

The 10-Year Treasury Note is the most important benchmark interest rate in the world. ZN is widely used as a risk management tool and is the most actively traded US Treasury futures contract. The 10-year yield influences mortgage rates, corporate borrowing costs, and global risk sentiment. ZN is often watched as a risk barometer — falling yields (rising prices) typically indicate risk-off sentiment, while rising yields signal risk-on.

SOFR (Secured Overnight Financing Rate) futures are the successor to the legendary Eurodollar futures contract. Here is the history: Eurodollar futures (symbol GE) were based on 3-month LIBOR — the London Interbank Offered Rate — and were one of the most actively traded futures contracts in the world since their launch in 1981. When LIBOR was officially discontinued in June 2023, CME converted all open Eurodollar futures positions to SOFR futures. SOFR is based on actual overnight US Treasury repo transactions — making it a more robust and manipulation-resistant benchmark than LIBOR was.

There are now two active SOFR futures contracts on CME: 3-Month SOFR (SR3) — the direct replacement for Eurodollar futures, with nearly identical contract structure and the same $25 per basis point risk profile — and 1-Month SOFR (SR1), which offers shorter-duration exposure. Both are heavily influenced by Federal Reserve rate decisions. SOFR futures prices move inversely to interest rates: when the Fed raises rates, SOFR prices fall; when the Fed cuts rates, SOFR prices rise.