A form of debt instrument-based option that derives its value from the difference between the exercise price and the value of the yield of the underlying debt instrument. The value of the option is based on yield rather than price.

The options are based on the yields of the most recently issued Treasuries:

  • 13-week Treasury bills (IRX)
  • Five-year Treasury notes (FVX)
  • 10-year Treasury notes (TNX), and
  • 30-year Treasury bonds (TYX)