TY - JOUR T1 - Ultra Treasury Bond Futures JF - The Journal of Fixed Income DO - 10.3905/jfi.2022.1.150 SP - jfi.2022.1.150 AU - Ren-Raw Chen AU - Dean Leistikow AU - You-Tseng Su AU - Shih-Kuo Yeh Y1 - 2022/12/02 UR - https://pm-research.com/content/early/2022/12/02/jfi.2022.1.150.abstract N2 - In this article, we determine the quality option value of Ultra Treasury bond futures contracts which allow deliverable bonds between 25 and 30 years to maturity and compare them with the new regular Treasury bond futures which allow deliverable bonds between 15 and 25 years to maturity. We use the arbitrage-free Ho-Lee model for the valuation. Using weekly data from March 25, 2011 until April 16, 2021 after the Ultra futures contract was introduced, we discover that: (1) that quality option value is higher for the Ultra futures than the new regular futures; (2) the Ho-Lee model consistently underprices the market; and (3) the “dry spell” period predicted by Ben-Abdallah and Breton (2017) is only partially supported. ER -