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Dec/Mar Roll Update

US TSY FUTURES

Decent early volumes with Nov 30 "first notice" a week away and position holders contending 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 132,400 0.25 last; 14% complete
  • FVZ/FVH appr 181,000 -10.0 last; 16% complete
  • TYZ/TYH appr 134,500 12.75 last; 17% complete
  • UXYZ/UXYH appr 14,000, 18.5 last; 20% complete
  • USZ/USH appr 22,800, -1-10.5 last; 16% complete
  • WNZ/WNH appr 68,400, 1-21 last; 25% complete

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