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Dec/Mar Tsy Roll Update:

US TSY FUTURES

Decent quarterly futures roll volumes from Dec'22 to Mar'23; first notice date next week Wednesday, November 30. Current markets:

    • TUZ/TUH 311,502 from -9.38 to -8.62, -9.0 last, 12% complete
    • FVZ/FVH 638,800 from -11.25 to -10.25, -11.0 last, 10% complete
    • TYZ/TYH 510,900 from -8.75 to -7.5, -8.5 last, 11% complete
    • UXYZ/UXYH 128,700 from -2.0 to -0.25, -0.5 last, 8% complete
    • USZ/USH 136,500 from 5.25 to 6.25, 5.5 last, 11% complete
    • WNZ/WNH 225,800 from -16.00 to -15.00, -16.00 last, 18% complete
  • Reminder, Dec futures won't expire until next month: 10s, 30s and Ultras on December 20, December 30 for 2s and 5s.

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