spb/wp47_uqo

1\begin{table}[tp]2\centering3\footnotesize4\begin{threeparttable}5\caption{Treasury futures sample: six CME contracts, one-minute bars, 2008--2026}6\label{tab:data}7\setlength{\tabcolsep}{3pt}8\begin{tabular}{llcrrrrr}9\toprule10Root & Contract & First bar & Bars (M) & Minutes/day & SD 1-min (bp) & SD daily (\%) & Contract switches \\11\midrule12ZT & 2-Year Note & 2008-01-01 & 4.33 & 844 & 0.44 & 0.094 & 76 \\13ZF & 5-Year Note & 2008-01-01 & 5.62 & 1,171 & 0.81 & 0.241 & 76 \\14ZN & 10-Year Note & 2008-01-01 & 6.03 & 1,261 & 1.30 & 0.371 & 78 \\15TN & Ultra 10-Year Note & 2016-01-10 & 3.06 & 872 & 1.48 & 0.441 & 44 \\16US & Treasury Bond & 2008-01-01 & 5.60 & 1,165 & 2.32 & 0.673 & 76 \\17UB & Ultra Treasury Bond & 2010-01-10 & 4.44 & 1,031 & 2.97 & 0.869 & 68 \\18\bottomrule19\end{tabular}20\begin{tablenotes}[flushleft]\footnotesize21\item \textit{Notes:} One-minute bars of the individual contracts from FinData OS (FirstRate Data), most-traded contract of each CME session, no splice or adjustment, 2008-01-01 to 2026-11-06, UTC-stamped bars converted to Eastern time; a yield day runs from 15:30 ET to 15:30 ET. ``Bars (M)'' is the number of one-minute bars in millions, per root, from its first bar; across roots there are 6.47 million calendar minutes with at least one traded contract and 4,715 yield days. ``Minutes/day'' is the median number of one-minute returns per yield day; ``SD 1-min'' is the standard deviation of one-minute log returns in basis points of price and ``SD daily'' that of the yield-day log return in percent, both over each root's full sample; ``Contract switches'' counts sessions on which the raw and the ratio-adjusted daily series disagree (contract splices). Announcement calendar (not shown as rows), 2008--2026: 150 scheduled FOMC statements and 4 unscheduled policy statements (Federal Reserve), 225 CPI and 226 Employment Situation releases (ALFRED release dates, 08:30 ET). The 3-month SOFR future (SR3) is used only in the short-end extension from 2021. Entries are sample statistics without standard errors.22\end{tablenotes}23\end{threeparttable}24\end{table}25