This study breaks down the bond futures’ price behavior (using the electronic contract, which trades from 6:00 p.m. CT to 4:00 p.m. CT the next day). The analysis period begins Sept. 1, 2006 and ends Aug. 31, 2007. First, daily range and close-to-close changes are analyzed to determine the market’s day-to-day tendencies. Also, characteristics of up-closing and downclosing sessions are explored to give an idea of the kind of price action traders can expect on these days.

Finally, three months of intraday trading activity using 60-minute bars is analyzed to determine when the market tends to provide the most volatility for intraday traders.

Together, these statistics provide the foundation for individual trades as well as strategies.