As the deliverable basket for zb drifted shorter, hedgers with genuine 30-year liabilities — pension funds and insurers — lost a precise instrument. The ultra bond fixed that by narrowing the basket to the longest maturities.
Its duration is the highest in the listed complex, so it carries the largest dv01 and the largest daily swings. There is also an Ultra 10-Year contract that does the same job for the 10-year point.
Example: with a DV01 around $270 against ZB's $190, a 10-basis-point rally is worth about $2,700 per ultra bond contract versus $1,900 per ZB. Hedgers needing equal risk hold roughly 7 UB for every 10 ZB.
Related: zb, treasury-futures, dv01, zn, futures-butterfly