The next CMEgroup 10yr Tnote future Mar09 will trade until noon Chicago time Fri 20 March 2009. Its delivery date is Tue 31 Mar 2009." Seventh business day preceding the last business day of the delivery month. Trading in expiring contracts closes at noon, Chicago time, on the last trading day."The front 10yr Tnote American futures option Feb09 will trade until noon Chicago time 23 jan 09, expire at 7pm same day. Exercise into Mar9 future.The Mar09 options => trade until noon Chicago time 20 feb 9, expire 7pm. Exercise into Mar9 future.The Apr09 options => trade until noon Chicago time 27 mar 9, expire 7pm. Exercise into Jun9 future."Options cease trading at the same time as the underlying futures contract on the last Friday preceding by at least two business days the last business day of the month preceding the option contract month""Unexercised 10 Year Treasury Note futures options shall expire at 7:00 p.m. Central Time on the last day of trading.""Serials will exercise into the first nearby quarterly futures contract. Quarterlies will exercise into futures contracts of the same delivery period."Question1 : do dates look right?Question2 : as the option premium is paid upfront, early exercise might be optimal if the american call is enough deep ITM or if the interest rate on credit balances (paid on exercise of the call) is high enough. In any case, the theoretical value of very deep ITM calls should be Mar9 Futures price - strike price. No discounting is required because of upfront premium payment? This is true for feb9, mar9 options?regards,

Question3: Is the Mar9 future to be considered as if it was a stock? No discounting considerations back to the option expiry?

basically, is the futures underlying the option is to be considered as if it was a stock?

The expiration dates look right to me. In CBOT interest rate derivatives, you should exercise most 100 delta options (depending on your position and if you need the protection) because they act like futures anyways and since options on the CBOT require you to pay a outlay to hold them and you can be earning interest on the outlay on those options. Futures are not like stock because you don't have to pay to own the futures (except a margin) and they are settled nightly. Also: dividends and interest and visa and versa.

right. What I was asking was whether the american option price would be different if the underlying future expiredon Thu 19 Mar 2009 instead of 20 Mar 2009.

Are you asking if that expiration month cushion between futures and options pricing matters? If that's the question, I'm for sure it would be. But 'how' is a very difficult question that is beyond my understanding. I don't think I can do justice of explaining the details of the delivery month as well as the book "Treasury Bond Basis." And even if I did understand it perfectly -- pricing that if options and futures expired at the same time is still beyond me. This might help a little: I can tell you that from observation the price of these straddles as t->0 is greater than 0.I may be doing a poor job of understanding slash explaining.