How are price assignments determined for packs and bundles?
The price of a bundle or pack is quoted in terms of the average net change from the previous day’s settlement prices for the entire group of contracts in the pack or bundle. Bundles and packs are quoted in minimum .25 tick increments; however, whole-basis-point prices are assigned to the individual legs of the trade. Prices are assigned to reflect fractional combination prices beginning with the most deferred contracts, and working forward. For example: • If the 2-year bundle trades at + 2.25, the first six contracts are priced at a net change of +2, and the last two contracts at +3. • If the 10-year bundle trades at – 5.75, the first ten contracts are priced at a net change of -5, and the last 30 contracts at -6. • If the Purple Pack trades at +.5, the first two contracts are priced at steady (unchanged), and the second two contracts are priced at +1.
