Far too many traders seem confused about the origin of Treasury futures prices and the behavior of these prices when yields are in flux.

The first sign of this confusion often is a call to a broker or exchange economist asking what the yield of the futures is. When told Treasury futures dont have a yield, these callers likely ask how the 10-year T-note futures price will respond if the 10-year Treasury yield goes up or down 40 basis points (bps).

There is no simple answer to this question. But the confusion can be cleared to a degree.