Deliverable bonds and conversion factors of JGB Futures (5-year, 10-year & 20- year). Deliverable bonds and conversion factors (January 20, 2020). Conversion a basket of fixed income securities that hold the nearest maturity bond futures contract. The underlying futures contract in this index is the 10-Year JGB Futures. Japanese Government Bond (JGB) Futures are based on bonds issued and backed by the government of Japan. JGB Futures are effective trading and risk Underlying Instrument 10-Year JGB With 6% Coupon. Contract Size. ¥ 10,000,000 notional long term 10-year JGB with 6% coupon. Trading Hours. T Session:. Contract Size, One Mini JGB Futures Contract, ¥10,000,000 notional long term 10 -year JGB with 6% coupon. Minimum Price Fluctuation, ¥0.01 per ¥100 face 11 Feb 2020 To maintain the yield on 10-year JGBs at zero, a rise in the yield of these bonds triggers a buy action from the BoJ. As of 2019, the central bank The SGI 10Y JGB Index aims to replicate the performance of a long strategy rolling Every 3 months, the strategy rolls the first 10-year JGB future contract to the
The benchmark 10-year JGB futures fell 0.81 point to 151.75, with a trading volume of 22,001 lots. The key 10-year cash JGB yield gained 4.5 basis points to 0.050%, its highest since December 2018. The index uses put and call options, on the 10-year JGB futures, to calculate implied volatility, which captures volatility across all the strikes contained in the skew of out-of-the-money (OTM) and at-the-money (ATM) option prices, and represents a purely model-free and “strikeless” volatility measure. Contract Month Trading Date Whole Day Settlement Price Price Limits Upper Lower Open Interest; Open High Low Last Change Volume Ask Ask Size Bid Bid Size; Nikkei 225 You're correct Convention for most interest rates options is normal vol, but this is difficult to compute for OTM options on bond futures ('cause there's all sorts of funky things that can happen when the price of the future changes). Hence the mkt convention for bond futures options is to use simple B-S, i.e. log-normal, vols.
Underlying Instrument 10-Year JGB With 6% Coupon. Contract Size. ¥ 10,000,000 notional long term 10-year JGB with 6% coupon. Trading Hours. T Session:. Contract Size, One Mini JGB Futures Contract, ¥10,000,000 notional long term 10 -year JGB with 6% coupon. Minimum Price Fluctuation, ¥0.01 per ¥100 face 11 Feb 2020 To maintain the yield on 10-year JGBs at zero, a rise in the yield of these bonds triggers a buy action from the BoJ. As of 2019, the central bank The SGI 10Y JGB Index aims to replicate the performance of a long strategy rolling Every 3 months, the strategy rolls the first 10-year JGB future contract to the
SGX 10-Year JGB Prices The All Futures page lists all open contracts for the commodity you've selected. Intraday futures prices are delayed 10 minutes, per exchange rules, and are listed in CST. TSE 10-year JGB futures and futures options trade on the Tokyo Stock Exchange (TSE). They have been trading since October 19, 1985 and May 11, 1990, respectively.
additional JGBs to finance reconstruction, 10-year JGB yields have remained outstanding), foreign investors are active in the JGB futures market, holding 13 Aug 2018 thriving and would cause fluctuations in the market of 10-year JGB Futures. 2. Cause. Although we, as a participant in the global financial 9 Feb 2016 Meanwhile, the DB 3x Japanese Govt Bond Futures ETN (NYSEArca: JGBT), which takes the 3x or 300% performance of 10-year JGB futures,