2-Year Treasury Note Futures (September 2026) (ZTU6) Expected Move

Expected move estimates the probable price range for a given period based on at-the-money options pricing. It reflects the market consensus for volatility over the selected timeframe.

2-Year Treasury Note Futures (September 2026) (ZTU6) operates in the Interest-Rate Futures sector, specifically the Interest-Rate Futures industry, listed on CBOT. 2-Year Treasury Note Futures September 2026 contract: CBOT 2-Year Treasury Note futures (ZT): short-end US Treasury futures used for curve trading and short-rate exposure.

Snapshot as of Aug 21, 2026.

Spot Price

$102.96

How to read the ZTU6 implied-range chart

The shaded range above shows the one-standard-deviation implied price band at each listed expiration, derived from ATM implied volatility scaled to days-to-expiration. Under lognormal assumptions, roughly 68% of outcomes fall inside that band; 95% fall inside ±2σ; 99.7% inside ±3σ. The empirical equity-return distribution has fatter tails than lognormal, so true tail-outcome frequency is moderately higher than these closed-form numbers suggest.

ZTU6 expected move and event pricing

Expected move widens with √time: a 5% 30-day move corresponds to roughly a 2.5% 7.5-day move and a 10% 120-day move.

Sizing ZTU6 structures to the expected move

Iron condors with wings at ±1σ collect the modal-outcome premium; ±1.5σ widens probability of inside-range to ~87% but cuts collected premium roughly in half. Strangles do the inverse trade - they pay against the same lognormal distribution, profiting when realized exceeds implied. Calendar spreads bet on the slope of the term structure rather than the level. ZTU6 put/call volume ratio currently at 0.80 indicates balanced flow without strong directional skew. The expected move is the inputs the chain is pricing, not a forecast - realized moves above or below are normal under any distribution.

Learn how expected move is reported and how to read the data →

Per-expiration expected move for ZTU6 derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $102.96 × (1 ± expected move %). One standard-deviation range under lognormal assumptions, roughly 68% of outcomes fall inside.