TY - JOUR T1 - Ultra Treasury Bond Futures JF - The Journal of Fixed Income SP - 117 LP - 139 DO - 10.3905/jfi.2022.1.150 VL - 32 IS - 3 AU - Ren-Raw Chen AU - Dean Leistikow AU - You-Tseng Su AU - Shih-Kuo Yeh Y1 - 2022/12/31 UR - https://pm-research.com/content/32/3/117.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 in 2017 is only partially supported. ER -