2.2.1. Treasury Bill Futures
Until their delisting in 2014, Treasury bill futures contracts traded on the International Monetary Market (IMM) division of the Chicago Mercantile Exchange. The contract required delivery of a T-bill with a face value of $1 million and thirteen weeks (90 to 92 days) left to maturity. A December T-bill futures, for example, required delivery in December of a T-bill that would mature 13 weeks later in March. Delivery months were March, June, September, and December. The tick size of a T-bill futures contract was 1/2 basis point (0.005%), for a tick value of $12.50 per contract.
In the following discussion, we will speak of Treasury bill futures in the present tense, as if they are still in existence. Bear in mind, however, that at the present time, they are no longer in effect.
Remember from Chapter One that a tick is the minimum allowable price fluctuation. Remember, too, that a basis point is 1/100 of 1% (0.0001). On an annual basis, the dollar value of a basis point for a $1 million T-bill futures contract is $100 ($1,000,000 x 0.0001); the tick value is one half of that, or $50 ($1,000,000 x 0.00005). For a three-month T-bill futures contract, the tick value must be adjusted for its shorter term. Three months is one quarter of