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5Y, Ultra-Bond December/March Rolls Surge

US TSY FUTURES

Expect Dec/Mar roll volume to surge as Nov 30 "first notice" date approaches and position holders contend with shortened Thanksgiving holiday workweek. Dec futures won't expire until mid-late December: 10s, 30s and Ultras on 12/21; 2s & 5s 12/31.

  • TUZ/TUH appr 9,900 0.25 last; 5% complete
  • FVZ/FVH appr 116,700 -10.25 last; 6% complete
  • TYZ/TYH appr 23,100 12.25 last; 5% complete
  • UXYZ/UXYH under 5,600, 19.25 last; 5% complete
  • USZ/USH 17,000, -1-10.25 last; 7% complete
  • WNZ/WNH 74,000, 1-20.5 last; 3% complete

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