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Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market

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  • Michèle Breton
  • Ramzi Ben‐Abdallah

Abstract

This paper analyzes the delivery behavior observed in the CBOT T‐Bond futures market over the period spanning 1985–2016 in order to assess how timing decisions were made, and whether these decisions were optimal. During that period, delivery was generally deferred to the last possible moment, but early delivery episodes were also observed regularly. A regression model identifying the determinants of early exercise over the last three decades is proposed, along with a case‐by‐case analysis of specific delivery patterns. Finally, the optimality of the observed delivery strategies is assessed a posteriori.

Suggested Citation

  • Michèle Breton & Ramzi Ben‐Abdallah, 2018. "Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 22-37, January.
    • Handle: RePEc:wly:jfutmk:v:38:y:2018:i:1:p:22-37
    DOI: 10.1002/fut.21862
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    References listed on IDEAS

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