11 terms
Dictionary: Z
- z-score
- How many standard deviations an observation sits from its mean. The common currency for comparing signals across instruments with different volatilities.
- Z-spread (zero-volatility spread)
- The constant spread added to every point of the government zero-coupon curve that makes the present value of a bond's cash flows equal its market price.
- ZB (30-year Treasury bond futures)
- The CBOT futures contract on US Treasury bonds with at least 15 years to maturity, $100,000 face value, quoted in 32nds with a $31.25 tick.
- Zero curve
- The set of spot rates for every maturity, used to discount individual cash flows rather than whole bonds.
- Zero-cost collar
- A collar where the call sold pays exactly for the put bought, giving downside protection with no cash outlay in exchange for capped upside.
- Zero-coupon bond
- A bond that pays no interest and is sold well below face value, with the entire return coming from the climb back to par at maturity.
- ZF (5-year Treasury note futures)
- The CBOT contract on Treasury notes of roughly four years and two months to five years and three months, $100,000 face, quoted in quarter-32nds.
- ZigZag
- A tool that connects significant swing highs and lows, filtering out moves smaller than a set percentage, used for labelling structure rather than trading.
- ZK rollup
- A rollup that publishes a cryptographic proof that each batch was executed correctly, allowing withdrawals without a challenge window.
- ZN (10-year Treasury note futures)
- The CBOT futures contract on Treasury notes with 6.5 to 10 years to maturity, $100,000 face, quoted in half-32nds with a $15.625 tick.
- ZT (2-year Treasury note futures)
- The CBOT contract on Treasury notes of about one year nine months to two years, with a $200,000 face value and a tick of one eighth of a 32nd.
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