Interest rate futures let institutions, and anyone who studies them, see and manage what the market expects for borrowing costs. They are among the deepest futures markets in the world, and they react quickly to Federal Reserve decisions and economic data.
What interest rate futures are
There are two main families on CME Group:
- Short-term interest rate futures, led by Three-Month SOFR futures. SOFR (the Secured Overnight Financing Rate) is a benchmark for overnight borrowing backed by Treasury securities. These contracts are cash-settled and quoted as 100 minus the rate, so a price of 95.50 implies a rate of about 4.50%.
- Treasury futures, covering U.S. government notes and bonds of different maturities. These are physically deliverable: the seller delivers Treasury securities that meet the contract's rules. Most traders close or roll positions before the delivery period.
The key relationship to learn: when yields rise, Treasury futures prices fall, and vice versa.
Who uses them
Hedgers include banks managing loan and deposit rates, mortgage lenders, pension funds and insurers protecting bond portfolios, and companies planning to borrow. Speculators take views on the direction of rates or the shape of the yield curve. Rate futures also serve as a widely watched gauge of what the market expects the Fed to do.
The major contracts at a glance
| Contract | Symbol | Exchange | Contract unit | Minimum tick | Tick value |
|---|---|---|---|---|---|
| Three-Month SOFR | SR3 | CME | $2,500 × IMM Index | 0.005 (0.0025 within 4 months of expiry) | $12.50 ($6.25) |
| 2-Year T-Note | ZT | CBOT | $200,000 face value | 1/8 of 1/32 point | $7.8125 |
| 5-Year T-Note | ZF | CBOT | $100,000 face value | 1/4 of 1/32 point | $7.8125 |
| 10-Year T-Note | ZN | CBOT | $100,000 face value | 1/2 of 1/32 point | $15.625 |
| U.S. Treasury Bond | ZB | CBOT | $100,000 face value | 1/32 point | $31.25 |
Each basis point of the SOFR rate is worth $25 per contract. Ticks shown are for outright trades; spreads may use finer increments.
Specs change
Contract terms, deliverable securities and tick rules are set by the exchange and can be amended. Confirm current specifications on CME Group before trading.
Reading 32nds
Treasury futures are quoted in points and thirty-seconds of a point. A quote of 110-16 means 110 and 16/32, or 110.5. For the bond contract (ZB), one point is $1,000, so 1/32 is $31.25. The 10-year note (ZN) moves in half-32nds ($15.625), and the 2- and 5-year notes use smaller fractions. Getting comfortable with this notation is essential before studying these markets; our guide to futures symbols and quotes can help.
What moves interest rate futures
- Federal Reserve policy. The FOMC holds eight regularly scheduled meetings a year. Rate decisions, statements, projections and press conferences move rate futures directly.
- Inflation reports, such as the Consumer Price Index, which shape expectations for future Fed moves.
- The monthly employment report from the Bureau of Labor Statistics, released at 8:30 a.m. Eastern.
- Treasury auctions and government borrowing needs, which affect supply of notes and bonds.
- Flight to safety. In market stress, investors often buy Treasuries, pushing futures prices up.
Our economic calendar guide explains how to prepare for these releases.
A worked example: rates and dollars
Suppose markets come to expect that short-term rates will be a quarter percentage point lower than before. On a Three-Month SOFR contract, 25 basis points at $25 per basis point equals $625 per contract, and the futures price rises because it is quoted as 100 minus the rate.
For Treasury futures, think in points. If the 10-year note future rises from 110-00 to 110-16 (half a point), that is 16/32 of a point, or $500 per ZN contract ($1,000 per point). The same half-point move on the bond contract (ZB) is also $500, but the bond future usually moves more points than the 10-year note for a given change in yields, because longer-term bonds are more sensitive to rate changes.
| Contract | Example move | Value per contract |
|---|---|---|
| SR3 | 25 basis points | $625 |
| ZN | 16/32 (half a point) | $500 |
| ZB | 1 full point | $1,000 |
That sensitivity to rate changes, often called duration, is why traders don't treat a 2-year note contract and a 30-year bond contract as interchangeable.
Trading hours
Many CME Group interest rate futures trade on CME Globex nearly 24 hours a day, Sunday evening through Friday afternoon (Central Time), with a short daily break. Confirm current hours on CME Group's trading-hours page.
Risks specific to rate futures
- Large notional values. A small-looking price move can be a large dollar amount. One full point on ZN equals $1,000 per contract.
- Data-release spikes. Prices can jump in seconds when a major report is released.
- Delivery mechanics. Treasury futures have complex delivery rules. Close or roll positions in time; see expiration and rollover.
- Correlation surprises. Rates, stocks and currencies usually influence one another, but the relationships can change.
How beginners can study this market
- Learn to convert prices to yields and back in general terms: rising price, falling yield.
- Watch an FOMC decision in real time and note how SOFR and 10-year futures react.
- Practice 32nds arithmetic until you can compute a dollar move without a calculator, then check yourself with our tick value calculator.
- Paper trade first and log every trade in a trading journal.
FuturesSignal.com is an education resource. Nothing on this page is a recommendation to buy or sell any contract.
Before you trade
Futures are leveraged. A small price move can produce a large gain or loss, and losses can exceed the money in your account. This article is general education, not a recommendation to buy or sell any contract.
- Practice in a simulated (paper) account before using real money.
- Decide your maximum loss per trade before you enter, and size positions to it.
- Confirm current contract specifications and margin requirements with the exchange and your broker.
Common questions
Why do Treasury futures prices fall when interest rates rise?
Treasury futures track the price of government notes and bonds. When yields rise, existing bonds with lower coupons become less valuable, so their prices fall. Futures prices move in the opposite direction from yields.
What does '32nds' mean in Treasury futures?
Treasury futures are quoted in points and fractions of a point, using thirty-seconds. For the 30-year bond contract, one thirty-second of a point is the minimum move and is worth $31.25.
What does a SOFR futures price tell you?
Three-Month SOFR futures are quoted as 100 minus the expected rate. A price of 96.00 implies an expected rate of about 4.00% for that contract's period, so traders use the curve of prices to read market expectations for short-term rates.
Sources
- Three-Month SOFR Futures, Rulebook Chapter 460 — CME Group. www.cmegroup.com/rulebook/CME/V/450/460/460.pdf
- 10-Year U.S. Treasury Note Futures, Rulebook Chapter 19 — CME Group (CBOT). www.cmegroup.com/rulebook/CBOT/V/19/19.pdf
- U.S. Treasury Bond Futures, Rulebook Chapter 18 — CME Group (CBOT). www.cmegroup.com/rulebook/CBOT/V/18/18.pdf
- Meeting calendars and information — Federal Reserve Board. www.federalreserve.gov/monetarypolicy/fomccalendars.htm
- Schedule of Releases for the Employment Situation — U.S. Bureau of Labor Statistics. www.bls.gov/schedule/news_release/empsit.htm
Last reviewed October 17, 2026. Educational content only; not investment advice. Contract specifications and margins change, so confirm current figures with the exchange and your broker. See our risk disclosure.
