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Dec/Mar Tsy Roll Update: Heavy Volumes


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

    • TUZ/TUH 745,500 from -10.12 to -8.88, -10.12 last, 37% complete
    • FVZ/FVH 1,411,100 from -11.25 to -10.75, -11.25 last, 35% complete
    • TYZ/TYH 1,165,100 from -9.5 to -8.25, -9.5 last, 29% complete
    • UXYZ/UXYH 365,100 from -1.0 to -0.25, -0.5 last, 32% complete
    • USZ/USH 386,800 from 4.0 to 6.5, 4.5 last, 37% complete
    • WNZ/WNH 378,500 from -17.00 to -15.25, -17.0 last, 42% 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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