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Interest rate futures

How does the implied duration of a Treasury futures contract dictate its daily point-value volatility risk profile?

By Easy Money Scanner · Educational reference · Not investment advice

The short answer

Higher implied duration means a Treasury futures contract's price moves more for a given change in yield, so long-duration contracts like ZB and UB have much larger daily point-value swings than ZT.

How it works

Duration measures price sensitivity to yield changes; ZB and UB track 20-30 year bonds with high duration, while ZT tracks 2-year notes with low duration and smaller price swings per basis point.

An example

A 10 basis point yield move might shift ZT futures by a few ticks, but the same move can shift ZB futures by several dozen ticks due to its longer duration.

Risk & limitations

Traders must adjust position sizes across the curve to achieve equal dollar risk, since equal contract counts produce very unequal duration exposure.

Examples are hypothetical, not trade recommendations. US contract and regulatory references do not automatically apply in Canada. Rules, margin requirements and broker policies can change; confirm them with the relevant authority and your broker.

Sources & further reading