|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:34 EST 2020
| Setup Time => Mon Jan 27 07:30:34 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------||
| Futures Type : UST ||
| Deliverable Grade : 50M -> 63M ||
| Reference Coupon : 6.00% ||
| Contract Size : 100000.00 ||
| Tick Size : 0.031250 ||
| Tick Value : 3125.00 ||
| Delivery Months : {February,May,August,November} ||
| Last Trading Lag : 0 Business Days Prior Expiry ||
| Futures Price : 119.00000 ||
| Contract Value : 119000.00 ||
|---------------------------------------------------------||
|---------------------------------------------||
| ||
| UST 1.38 28-FEB-2020 => 00.99909 ||
| UST 1.38 31-MAR-2020 => 00.99900 ||
| UST 1.38 30-APR-2020 => 00.99891 ||
| UST 1.50 31-MAY-2020 => 00.99944 ||
| UST 1.62 30-JUN-2020 => 00.99984 ||
| UST 1.62 31-JUL-2020 => 00.99978 ||
| UST 1.38 31-AUG-2020 => 00.99862 ||
| UST 1.38 30-SEP-2020 => 00.99850 ||
| UST 1.38 31-OCT-2020 => 00.99853 ||
| ||
|---------------------------------------------||
| Cheapest to Deliver: UST 1.38 28-FEB-2020 ||
|---------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:34 EST 2020
| Setup Time => Mon Jan 27 07:30:34 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------||
| Futures Type : UST ||
| Deliverable Grade : 21M -> 2Y ||
| Reference Coupon : 6.00% ||
| Contract Size : 200000.00 ||
| Tick Size : 0.031250 ||
| Tick Value : 6250.00 ||
| Delivery Months : {February,May,August,November} ||
| Last Trading Lag : 0 Business Days Prior Expiry ||
| Futures Price : 108.08594 ||
| Contract Value : 216171.88 ||
|---------------------------------------------------------||
|---------------------------------------------||
| ||
| UST 0.75 31-DEC-2017 => 00.99956 ||
| UST 1.00 15-DEC-2017 => 01.00094 ||
| UST 0.62 30-NOV-2017 => 00.99938 ||
| UST 0.88 15-NOV-2017 => 00.99991 ||
| UST 0.75 31-OCT-2017 => 00.99975 ||
| UST 0.88 15-OCT-2017 => 01.00000 ||
| UST 0.62 30-SEP-2017 => 00.99953 ||
| UST 1.00 15-SEP-2017 => 01.00250 ||
| ||
|---------------------------------------------||
| Cheapest to Deliver: UST 1.00 15-SEP-2017 ||
|---------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:34 EST 2020
| Setup Time => Mon Jan 27 07:30:34 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------||
| Futures Type : UST ||
| Deliverable Grade : 78M -> 10Y ||
| Reference Coupon : 6.00% ||
| Contract Size : 100000.00 ||
| Tick Size : 0.031250 ||
| Tick Value : 3125.00 ||
| Delivery Months : {February,May,August,November} ||
| Last Trading Lag : 0 Business Days Prior Expiry ||
| Futures Price : 126.57812 ||
| Contract Value : 126578.12 ||
|---------------------------------------------------------||
|---------------------------------------------||
| ||
| UST 2.12 30-JUN-2022 => 01.00719 ||
| UST 1.88 31-AUG-2022 => 00.99031 ||
| UST 2.00 31-JUL-2022 => 00.99906 ||
| UST 1.62 15-AUG-2022 => 00.97562 ||
| UST 1.88 31-OCT-2022 => 00.98938 ||
| UST 1.88 30-SEP-2022 => 00.98188 ||
| UST 1.62 15-NOV-2022 => 00.97344 ||
| UST 2.00 15-FEB-2023 => 00.99687 ||
| UST 1.75 15-MAY-2023 => 00.97562 ||
| UST 2.50 15-AUG-2023 => 01.02812 ||
| UST 2.75 15-NOV-2023 => 01.04594 ||
| UST 2.75 15-FEB-2024 => 01.04438 ||
| UST 2.50 15-MAY-2024 => 01.02313 ||
| UST 2.38 15-AUG-2024 => 01.01281 ||
| UST 2.25 15-NOV-2024 => 00.99969 ||
| UST 2.00 15-FEB-2025 => 00.97688 ||
| UST 2.12 15-MAY-2025 => 00.98656 ||
| UST 2.00 15-AUG-2025 => 00.97500 ||
| UST 2.12 15-NOV-2025 => 00.99781 ||
| ||
|---------------------------------------------||
| Cheapest to Deliver: UST 2.12 30-JUN-2022 ||
|---------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:34 EST 2020
| Setup Time => Mon Jan 27 07:30:34 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------||
| Futures Type : UST ||
| Deliverable Grade : 15Y -> 25Y ||
| Reference Coupon : 6.00% ||
| Contract Size : 100000.00 ||
| Tick Size : 0.031250 ||
| Tick Value : 3125.00 ||
| Delivery Months : {February,May,August,November} ||
| Last Trading Lag : 0 Business Days Prior Expiry ||
| Futures Price : 153.75000 ||
| Contract Value : 153750.00 ||
|---------------------------------------------------------||
|----------------------------------------------||
| ||
| UST 4.50 15-FEB-2036 => 01.27656 ||
| UST 5.00 15-MAY-2037 => 01.36437 ||
| UST 4.75 15-FEB-2037 => 01.32031 ||
| UST 4.50 15-MAY-2038 => 01.27750 ||
| UST 4.38 15-FEB-2038 => 01.25562 ||
| UST 4.50 15-AUG-2039 => 01.27313 ||
| UST 4.62 15-FEB-2040 => 01.29563 ||
| UST 4.25 15-MAY-2039 => 01.22875 ||
| UST 4.38 15-NOV-2039 => 01.25063 ||
| UST 4.38 15-MAY-2040 => 01.25063 ||
| UST 4.25 15-NOV-2040 => 01.22812 ||
| UST 3.88 15-AUG-2040 => 01.16031 ||
| UST 3.50 15-FEB-2039 => 01.10094 ||
| ||
|----------------------------------------------||
| Cheapest to Deliver: UST 4.50 15-FEB-2036 ||
|----------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 07:30:35 EST 2020
| Setup Time => Mon Jan 27 07:30:35 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------||
| Futures Type : UST ||
| Deliverable Grade : 25Y -> MAX ||
| Reference Coupon : 6.00% ||
| Contract Size : 100000.00 ||
| Tick Size : 0.031250 ||
| Tick Value : 3125.00 ||
| Delivery Months : {February,May,August,November} ||
| Last Trading Lag : 0 Business Days Prior Expiry ||
| Futures Price : 156.68750 ||
| Contract Value : 156687.50 ||
|---------------------------------------------------------||
|----------------------------------------------||
| ||
| UST 4.75 15-FEB-2041 => 01.32000 ||
| UST 4.38 15-MAY-2041 => 01.25406 ||
| UST 3.75 15-AUG-2041 => 01.14125 ||
| UST 3.62 15-AUG-2043 => 01.11938 ||
| UST 3.75 15-NOV-2043 => 01.14500 ||
| UST 3.12 15-NOV-2041 => 01.02625 ||
| UST 3.12 15-FEB-2043 => 01.02563 ||
| UST 3.62 15-FEB-2044 => 01.11844 ||
| UST 3.12 15-FEB-2043 => 01.01812 ||
| UST 3.00 15-MAY-2042 => 00.99906 ||
| UST 3.62 15-MAY-2044 => 01.06594 ||
| UST 2.38 15-AUG-2042 => 00.94812 ||
| UST 2.88 15-MAY-2043 => 00.96813 ||
| UST 2.75 15-NOV-2042 => 00.94594 ||
| UST 3.12 15-AUG-2044 => 01.01531 ||
| UST 3.00 15-NOV-2044 => 00.98969 ||
| UST 3.00 15-MAY-2045 => 00.98906 ||
| UST 3.00 15-NOV-2045 => 00.99187 ||
| UST 2.88 15-AUG-2045 => 00.96562 ||
| UST 2.50 15-FEB-2045 => 00.89094 ||
| ||
|----------------------------------------------||
| Cheapest to Deliver: UST 4.75 15-FEB-2041 ||
|----------------------------------------------||