Treasury Trading Journal

US Treasuries are the benchmark of global fixed income — the 10-year yield is the reference rate for mortgages, corporate bonds, and risk assets worldwide. Yet most traders who actively trade /ZN futures, TLT, or Treasury spreads use the same journal template as equity day traders, logging only price, quantity, and P&L. For Treasury trading, that is not just incomplete — it makes pattern recognition nearly impossible. A dedicated Treasury trading journal is built around yield and basis points as the primary units, with macro event tagging as the analytical backbone.

Key Statistics

Metric	Value	Source
/ZN Minimum Tick	1/64 point = $15.625/contract	CME Group
/ZN Point Value	$1,000 per full point	CME Group
MOVE Index Avg (2023–2024)	~100 vs. 50–70 pre-2022 norm	ICE BofA
10-Year Yield Range (2024)	3.78% – 4.80%	US Treasury
FOMC Meetings Per Year	8 scheduled	Federal Reserve
2024 Rate Cuts	3 cuts totaling 100bp	Federal Reserve

The elevated MOVE Index — nearly double its pre-2022 average — means Treasury traders face a substantially higher volatility environment than historical backtests suggest. A typical quiet-day range on /ZN is 8–20 ticks; on CPI or FOMC days, ranges of 30–60 ticks are common. This volatility regime shift demands that position sizing and stop placement be recalibrated to current conditions, not pre-2022 norms.

Trading Hours

Session	Open	Close	Timezone
Globex Electronic	18:00 (prior day)	17:00	ET
Regular Day Session	08:00	15:00	ET

The day session is where institutional volume concentrates, particularly around 08:30 ET when CPI, PCE, and NFP releases hit. FOMC announcements at 14:00 ET create the sharpest intraday moves of the year. Treasury auctions at 13:00 ET on scheduled auction days are the third major intraday event to watch — the 10-year auction result frequently moves /ZN 10–20 ticks within minutes of the 1pm announcement.

Popular Instruments

Futures (CME)

• /ZN (10-Year T-Note Futures) — The most actively traded Treasury futures contract. Point value $1,000, minimum tick $15.625. The benchmark for macro directional trades and the most liquid instrument for institutional and retail Treasury traders alike.
• /ZB (30-Year T-Bond Futures) — Higher duration sensitivity than /ZN, approximately twice the price move per basis point. Used for long-duration directional bets and as the short leg in curve flattener trades.
• /ZT (2-Year T-Note Futures) — The short end of the yield curve. Frequently used as the long leg in 2s10s steepener trades paired with a short /ZN position.
• /ZF (5-Year T-Note Futures) — The belly of the curve. Used in butterfly trades (long /ZF, short /ZT and /ZB in DV01-neutral ratios).

ETFs

• TLT (iShares 20+ Year Treasury ETF) — The dominant retail instrument for long-duration Treasury exposure. The 10-year yield range of 3.78%–4.80% in 2024 produced roughly a $15–20 price range on TLT throughout the year, creating tradeable swings without futures margin requirements.
• IEF (iShares 7-10 Year Treasury ETF) — Mid-duration ETF approximating /ZN exposure. Suitable for accounts without futures access.

Popular Brokers

Broker	Import to JournalPlus	Notes
Interactive Brokers	Supported	CSV and API import; supports futures and ETFs
TD Ameritrade / thinkorswim	Supported	CSV import; thinkorswim platform popular for /ZN
NinjaTrader	Supported	Futures-focused; detailed tick data export
TradeStation	Supported	CSV import; strong futures analytics
Tastytrade	Not supported	Popular for TLT options; manual entry required

Challenges & Solutions

Generic Journals Miss Yield and DV01

Most journal templates record entry price, exit price, and P&L — nothing more. For Treasury trading, a $500 gain on /ZN means nothing without knowing whether the 10-year yield moved 3bp or 15bp to produce it. A trader who captured 3bp of a 20bp move exited far too early; one who captured 18bp of a 20bp move executed near-perfectly. The P&L number alone cannot tell you which occurred.

Solution: Add custom fields for entry yield (%), exit yield (%), yield change in basis points, and DV01 per contract. For /ZN at typical durations, DV01 is approximately $85 per contract. Log total portfolio DV01 at trade open to quantify true rate risk — 5 contracts at $85 DV01 each means a 10bp adverse move produces an $4,250 loss before any slippage.

No Macro Event Tagging

A Treasury trader who cannot separate their FOMC-day results from their pre-auction results cannot improve. These are fundamentally different setups: FOMC trades involve a binary binary announcement with potentially 40–60 tick moves; pre-auction concession trades are mean-reversion plays lasting 1–2 hours with typical ranges of 8–15 ticks.

Solution: Tag every trade with its primary catalyst from a fixed list — FOMC decision, CPI, PCE, NFP, 2-year auction, 5-year auction, 10-year auction, 30-year auction, or technical setup. Review performance by tag quarterly. A trader might discover a 68% win rate on post-FOMC mean-reversion setups and only 38% on pre-auction directional bets — a pattern invisible without categorized tagging.

Multi-Leg Curve Trades Recorded as Single Legs

A 2s10s steepener (long /ZT, short /ZN) executed as a spread trade has a specific entry spread level and a net P&L that differs from summing the individual leg results. Recording legs separately in a generic journal obscures whether the spread thesis was right — the /ZT leg might gain $400 while the /ZN leg loses $700, producing a net -$300 spread result that looks like a mixed outcome in a leg-by-leg view.

Solution: Journal curve trades as a single spread entry. Record the 2s10s spread level at entry (e.g., -35bp), the spread at exit, net spread P&L, and DV01-neutral ratio used. Keep individual leg executions as sub-records under the parent spread trade in your futures trading journal.

Elevated Volatility Regime Distorts Risk Models

The MOVE Index has averaged approximately 100 since 2023, compared to a pre-2022 norm of 50–70. Treasury traders who calibrated position sizing and stop levels before 2022 are operating with outdated risk parameters. A stop placed at 8 ticks that was reasonable in a 50-MOVE environment is likely to be hit in normal market noise in a 100-MOVE environment.

Solution: Log the MOVE Index level at entry alongside every trade. Review average MOVE at entry for winning versus losing trades to understand how volatility regime affects your edge. Consider reducing per-trade DV01 limits by 20–30% when MOVE exceeds 110 relative to baseline sizing.

Auction Concession Trades Mixed With Directional Trades

Pre-auction concession trades — selling /ZN in the 30–60 minutes before a 10-year auction, then buying back after the 1pm result — are a documented institutional pattern with characteristics distinct from macro directional trades. Mixing them into a general P&L pool hides their specific performance metrics.

Solution: Create a dedicated “auction concession” setup tag and track average hold time (typically under 2 hours), win rate, and average R-multiple separately. Compare this to your FOMC and CPI trade statistics to allocate capital toward your highest-edge setups.

Journaling Tips for Treasury Trading

Track the MOVE Index at entry for every TLT options trade. The MOVE Index is the fixed income equivalent of VIX — it measures implied volatility across the Treasury curve. An option bought when MOVE is at 120 will decay faster and require a larger yield move to profit than one bought at MOVE 80. Logging this at entry lets you compare implied volatility at purchase against realized volatility during the trade.

Separate pre-auction trades into their own setup category. Buying /ZN 10–15 minutes before a 10-year auction and exiting on the 1pm result is a distinct setup with a typical hold time under 2 hours. Track auction-concession trades separately from your multi-day macro positions to see which generates better risk-adjusted returns.

Log the 2s10s spread level at entry for every trade. The shape of the yield curve changes what a given yield level means for mean-reversion probability. Entering a /ZN long when 2s10s is deeply inverted at -50bp carries different dynamics than entering during a steepening episode. One context field added to every entry creates a regime layer across your entire trade history.

Tag the thesis explicitly, not just the catalyst. “CPI release” is a catalyst; the thesis is either “mean-reversion after surprise” or “momentum continuation on in-line print.” Tracking both lets you discover whether you trade upside surprises better than downside surprises — a real and common asymmetry among Treasury traders.

Key Metrics to Track

• Entry yield (%) and exit yield (%) — The primary units of Treasury analysis; price is secondary
• Yield change in basis points — Exit minus entry yield; the true measure of thesis capture
• DV01 per contract and total portfolio DV01 — Rate risk in dollar terms per basis point
• MOVE Index at entry — Volatility regime context for options and volatility-sensitive sizing
• Macro catalyst tag — FOMC, CPI, PCE, NFP, 2y/5y/10y/30y auction, or technical
• Thesis type — Mean-reversion, momentum, auction concession, or curve spread
• 2s10s spread at entry — Curve shape context for each trade
• Hold time in hours — Especially critical for auction concession trades
• R-multiple — Actual gain or loss divided by initial risk in DV01 terms
• Win rate by macro catalyst tag — Identifies your highest-edge event types
• Yield change captured vs. targeted — Trade execution quality metric

How JournalPlus Helps

JournalPlus supports custom fields at the trade level, allowing Treasury traders to add yield, DV01, MOVE Index, and spread fields that standard journal templates omit. The tag system supports the structured macro event taxonomy — FOMC, CPI, NFP, auction type — and generates win rate and average return breakdowns by tag, making it straightforward to identify which catalysts you trade well.

For multi-leg curve trades, JournalPlus supports grouped trades with a parent-level P&L calculation, so a 2s10s steepener records as a single strategic position with sub-entries for each leg. This preserves the spread thesis as the unit of analysis rather than mixing leg results into a generic trade list.

Broker imports from Interactive Brokers, NinjaTrader, and TradeStation bring in /ZN and /ZB futures trades automatically, including execution timestamps that let you correlate entries and exits against the macro calendar. For TLT traders using the ETF trading journal workflow, CSV imports from TD Ameritrade and TradeStation cover both ETF shares and options positions.

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Example from practice: A macro trader entered 5 /ZN contracts long at 109-16 on November 6, 2024 — the day after the US election — when the 10-year yield spiked to 4.47%. The thesis: yield spike was an overreaction to fiscal deficit fears, with reversion to 4.35% expected within two weeks. Stop was set at 109-00 (16 ticks = $250/contract, $1,250 total risk). Target was 110-16 (32 ticks = $500/contract, $2,500, a 2:1 reward-to-risk ratio). The journal entry logged: entry yield 4.47%, DV01 $425/contract ($2,125 total portfolio DV01), macro catalyst tagged “post-election fiscal deficit fear,” MOVE Index at 115. The trade hit target nine days later as the yield retraced to 4.35% — a 12bp move — with an exit at 110-16 for +$2,500. Reviewing six months of tagged trades revealed a 68% win rate on post-election and post-FOMC mean-reversion setups, versus only 38% on pre-auction directional bets. That asymmetry was invisible until every trade carried a catalyst tag.