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Early Dec/Mar Quarterly Futures Roll Update

US TSY FUTURES

Latest Tsy quarterly futures roll volume from Dec'23 to Mar'23 summary below. March '24 futures take lead quarterly position on November 30 (First Notice date). Current markets:

    • TUZ/TUH 19,600 from -13.88 to -13.25, -13.75 last, appr 9% complete
    • FVZ/FVH 68,100 from -15.5 to -14.5, -15.25 last, appr 8% complete
    • TYZ/TYH 79,700 from -12.25 to -11.75, -12.0 last, appr 7% complete
    • UXYZ/UXYH 6,000 from -9.5 to -9.0, -9.25 last, appr 12% complete
    • USZ/USH 8,100 from -1.75 to -1.0, -1.5 last, appr 9% complete
    • WNZ/WNH 8,800 from -29.0 to -27.25, -28.75 last, appr 5% 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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