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Early Cycle Dec/Mar Quarterly Futures Roll Update

US TSY FUTURES

It's that time again, Tsy quarterly futures roll volume is picking up: Dec'23 to Mar'23 summary below. "First Notice" date, when Dec'23 lead movers to Mar'24, is only two weeks away on November 30. Current markets:

    • TUZ/TUH 20,900 from -13.5 to -11.75, -13.5 last, 1% complete
    • FVZ/FVH 37,300 from -14.75 to -13.25, -14.5 last, appr 1% complete
    • TYZ/TYH 20,100 from -12.0 to -11.25, -11.75 last, appr 1% complete
    • UXYZ/UXYH 3,600 from -8.25 to -7.5, -7.75 last, appr 1% complete
    • USZ/USH 2,100 from -.5 to 1.25, -0.25 last, appr 5% complete
    • WNZ/WNH 5,300 from -27.5 to -25.25, -27 last, appr 8% complete
  • Reminder, December futures won't expire until next month: 10s, 30s and Ultras on December 19, and the 29th for 2s and 5s.
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