The complex runs from zt at the two-year point through zf, zn and zb to the ultra bond. Each is written on a notional 6% coupon security with a basket of deliverable issues, and each is quoted in points and thirty-seconds-pricing rather than decimals.
Prices move inversely to yields, and the further out the maturity the more a given yield change is worth — captured by dv01. A trader hedging a bond portfolio chooses the contract whose duration matches, or blends several.
Delivery is physical and optional for the short, which introduces cheapest-to-deliver effects and makes the arithmetic less clean than a cash-settled contract. Most participants never deliver; they roll quarterly in the week before first-notice-day.
Example: ZN is $100,000 face with a tick of half a 32nd, worth $15.625. A 10-basis-point fall in the 10-year yield moves the contract roughly 20 ticks, about $625 per contract.
Related: zb, zn, zf, zt, cheapest-to-deliver