The document discusses yield-based options, which are European-style options based on the yield of the most recently auctioned Treasury security with the longest remaining life. It highlights factors affecting pricing, settlement procedures, and potential adjustments if the U.S. Treasury changes its issuance schedule. It also mentions the possibility of trading suspensions if quotations become unavailable or unreliable.
doj/DataSet10/EFTA01393116.pdf
{"title":"Yield-Based Options Overview","document_type":"other","key_organizations":["U.S. Department of the Treasury"]}