Free Trial

December/March Futures Roll Update


Lead quarterly roll volume picking up -- two weeks before Dec futures cede lead to Mar futures on Nov 30 "first notice" date. Dec futures won't expire until mid-late December: 10s, 30s and Ultras on 12/21; 2s & 5s 12/31. All well under 5% completed at the moment:

  • TUU/TUZ appr 3,600 0.25 last;
  • FVU/FVZ appr 4,900 -9.75 last;
  • TYU/TYZ appr 16,500 12.5 last;
  • UXYU/UXYZ under 5,300, 19.75 last;
  • USU/USZ 13,000, -1-09.25 last;
  • WNU/WNZ 5,600, 1-20.75 last;

To read the full story



MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.