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https://www.investopedia.com/terms/d/deliveryoption.asp
May 26, 2018 · Delivery Option: A feature added to some futures contracts permitting the short position to determine the combination of timing, location, quantity, and quality of the underlying commodity stated ...
https://www.investopedia.com/terms/b/bondfutures.asp
Jan 17, 2020 · Bond futures are financial derivatives which obligate the contract holder to purchase or sell a bond on a specified date at a predetermined price. A bond future can be bought in a futures exchange ...
https://www.cmegroup.com/education/brochures-and-handbooks/about-us-treasury-futures-and-options.html
The buyer of a futures option may exercise the option on any business day prior to expiration by giving notice to CME Clearing by 6:00 p.m. CT. Options that expire in-the-money are automatically exercised into a position, unless specific instructions are …
https://www.cmegroup.com/education/files/treasury-futures-basis-spreads.pdf
THE BASICS OF TREASURY For Ultra Bond (“UB”) futures, Bond (“ZB”) futures, Ultra FUTURES DELIVERY Most expiring Treasury futures1 are fulfilled by physical delivery of $100,000 face value of contract grade Treasury securities at the contract delivery invoice price. Exceptions are 3-YearFile Size: 252KB
https://www.theice.com/interest-rates/government-bonds
ICE's flagship Long Gilt futures and options contract is the market benchmark for the 10 year segment of the UK sovereign yield curve. This highly liquid contract enables market participants to trade curve basis, when used in conjunction with the 2, 5 and 30 year Gilt futures.
https://pdfs.semanticscholar.org/17db/17ab80184917a93919ecd2e04a5a565754cd.pdf
valuing the delivery options in the HL framework, which is then used to present some simulated option values in Section 5. A brief summary of the study is given in Section 6. 2.0 The Treasury Bond Futures Contract . The asset underlying the CBOT Treasury Bond Futures contract is a T-Bond with face value
https://quant.stackexchange.com/questions/10794/pricing-an-american-style-option-on-a-bond-future
Pricing a bond futures contract is already a very difficult task (because of the embedded delivery option), not to mention an American option on it. Bottom line, you'll need to build either a tree/lattice or run some monte carlo simulations. Here's a sketch of how you could go about doing it –
https://www2.bc.edu/alan-marcus/papers/J_Derivatives_2005.pdf
delivery options will result in a reduction to equilihrium futures prices. For example, Gay and Manastcr [1984, who studied the quality option in CBOT wheat futures contracts, concluded that if there are only two relevant delivery assets, the equilibrium value ofthe futures price …
https://www.thestreet.com/investing/fixed-income/what-makes-a-bond-cheapest-to-deliver-against-the-futures-contract-769619
It provides all the relevant data on both the bond that is currently cheapest-to-deliver against the futures contract (the Feb. 15, 2015 bond) and the most recently issued 30-year Treasury bond.
http://people.stern.nyu.edu/jcarpen0/courses/b403333/23bondfutures.pdf
Treasury Bond Futures and the Quality Option The seller has the option to deliver any bond with at least 15 years to call or maturity. Each deliverable bond has a publicized conversion factor equal to the price of $1 par of the bond at a yield of 6%. If the seller delivers a given bond, he receives the futures price, times the conversion factor ...File Size: 791KB
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