CBOT Two-Year U.S. Treasury Note Futures Set New Record - Open Interest Surpasses 300,000-Mark

The Chicago Board of Trade (CBOT) announced today that CBOT Two-Year U.S. Treasury Note futures set an open interest record for a ninth consecutive session, surpassing 300,000 contracts for the first time in Exchange history. Open interest in the contract reached a total of 303,789 contracts on January 19.

CBOT President and CEO Bernard W. Dan said, “Exchange customers value the combination of liquidity and transparency provided by CBOT Two-Year U.S. Treasury Note futures. Further, electronic trading in the contract has rapidly expanded at an impressive pace, with Electronic Market Makers (EMMs) providing consistent, two-sided markets with a narrow bid-ask spread.”

The CBOT’s EMM program in Two-Year U.S. Treasury note futures began on May 1, 2003, and average daily electronic volume in 2004 was up more than 500 percent over the prior year’s levels.

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