10-Year Treasury Note Futures (September 2026) (ZNU6) Probability Analysis

Probability analysis extracts the risk-neutral probability distribution implied by option prices. It shows the market-implied likelihood of the underlying reaching various price levels by expiration.

10-Year Treasury Note Futures (September 2026) (ZNU6) operates in the Interest-Rate Futures sector, specifically the Interest-Rate Futures industry, listed on CBOT. 10-Year Treasury Note Futures September 2026 contract: CBOT 10-Year Treasury Note futures (ZN): the most liquid US Treasury futures contract, used for duration hedging and curve trading.

Snapshot as of Aug 21, 2026.

Spot Price

$108.30

HV 20-Day

4.1%

How ZNU6 probability analysis Data Feeds Strategy Selection

Strategy selection on 10-Year Treasury Note Futures (September 2026) options does not derive from any single metric in isolation. The probability analysis view above sits inside a broader read: ATM IV varies by tenor and dealer gamma exposure is negative, so dealer hedging amplifies directional moves. Combine the probability analysis data here with the volatility-skew surface, dealer-gamma exposure, max-pain level, and upcoming-events calendar to build a positioning thesis. Risk-defined structures (credit spreads, debit spreads, iron condors) are usually safer than naked positions while the regime is uncertain; the data on this page anchors the inputs but does not by itself constitute a trade thesis.

How to read the ZNU6 probability distribution

The probability cone above is the option-market-implied distribution of where 10-Year Treasury Note Futures (September 2026) spot could end up at expiration. It's derived from the implied-volatility surface via a risk-neutral pricing transformation, not from historical realized returns.

ZNU6 risk-neutral vs real-world probabilities

The probabilities derived from option prices reflect the market's risk-adjusted view, not the realized statistical distribution. Risk-neutral probabilities include the equity risk premium and skew preferences priced into options, so they tend to overstate tail probability and understate upside drift relative to actually-realized outcomes. For probability-of-touch calculations and assignment-risk modeling, risk-neutral is the right benchmark. For position-sizing your own conviction, blend with realized-volatility-based statistics from the HV columns.

Trading the ZNU6 distribution

Probability-driven strategies aim to capture mispricings between the implied distribution and your own probability assessment. Premium-selling structures (credit spreads, iron condors, cash-secured puts) profit when the implied distribution overprices tail probability relative to realized; premium-buying (debit spreads, long calls/puts, long straddles) profits in the reverse. Always pair probability-driven strategy selection with a stop loss or wing-defined risk - the implied distribution is a snapshot, and regime shifts can invalidate it intraday.

Learn how risk-neutral density is reported and how to read the data →