What is the ZNU6 30-day expected price range?

As of Jul 16, 2026, with ZNU6 at $109.17 and ATM IV at 4.4%, the implied 30-day one-standard-deviation range is approximately ±$1.36, or about $107.81 to $110.54.

What does ZNU6 risk-neutral density tell us?

Risk-neutral density is the probability distribution of future ZNU6 price implied by listed option prices. Extracted via Breeden-Litzenberger (twice-differentiating the call price function with respect to strike), it represents the pricing kernel rather than the real-world probability of outcomes. Persistent skew or fat-tail features in the density reflect how the market is pricing tail risk.

How does ZNU6 ATM IV translate to a probability range?

ATM IV is annualized; multiplying by sqrt(t/365) scales it to the chosen tenor. Under lognormal assumptions, the resulting standard deviation defines the ±1σ band that contains roughly 68% of outcomes, ±2σ for 95%. Empirical equity returns have fatter tails than log-normal, so the implied tail probabilities under-state realized tail frequency in stressed regimes.

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 Jul 16, 2026.

Spot Price: $109.17
ATM IV: 4.4%
HV 20-Day: 4.7%
IV Skew 25Δ: 0.004

As of Jul 16, 2026, 10-Year Treasury Note Futures (September 2026) (ZNU6) at $109.17 has an ATM IV of 4.4%, implying a 30-day one-standard-deviation range of approximately ±$1.36. The 25-delta skew is +0.004: roughly symmetric wings. Under lognormal assumptions roughly 68% of outcomes fall within ±1σ and 95% within ±2σ; risk-neutral probability analysis refines this by extracting the market-implied distribution directly from options prices, capturing the fat tails that real markets exhibit.

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 currently sits at 4.4% and dealer gamma exposure is positive, so dealer hedging is mechanically mean-reverting. 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. With ATM IV at 4.4% and spot at $109.17, the 1σ band is approximately ±1.5% over a 30-day horizon. Recent realized HV-20 of 4.7% runs 0.3 vol points above current implied, an inverted regime where premium buyers are underpaying.

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 →

Frequently asked ZNU6 probability analysis questions

What is the ZNU6 30-day expected price range?: As of Jul 16, 2026, with ZNU6 at $109.17 and ATM IV at 4.4%, the implied 30-day one-standard-deviation range is approximately ±$1.36, or about $107.81 to $110.54.
What does ZNU6 risk-neutral density tell us?: Risk-neutral density is the probability distribution of future ZNU6 price implied by listed option prices. Extracted via Breeden-Litzenberger (twice-differentiating the call price function with respect to strike), it represents the pricing kernel rather than the real-world probability of outcomes. Persistent skew or fat-tail features in the density reflect how the market is pricing tail risk.
How does ZNU6 ATM IV translate to a probability range?: ATM IV is annualized; multiplying by sqrt(t/365) scales it to the chosen tenor. Under lognormal assumptions, the resulting standard deviation defines the ±1σ band that contains roughly 68% of outcomes, ±2σ for 95%. Empirical equity returns have fatter tails than log-normal, so the implied tail probabilities under-state realized tail frequency in stressed regimes.