We investigate nontradable and tradable identical Treasury derivatives. The nontradability premium is statistically and economically significant, and it covaries positively with interest rate volatility and relative tightness in the markets. Our data offer an almost-perfect laboratory to study the determinants of liquidity. The product of conditional interest rate volatility times the underlying bill's turnover is a better liquidity measure than the trading volume, amount outstanding, and turnover. A higher turnover is associated with a lower expected time for trading at a "desirable" price. The higher the volatility, the larger the marginal value of a reduction in the expected time to trade.