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Early Dec/Mar Tsy Roll Levels

US TSY FUTURES

It's that time again - Tsy quarterly futures roll from Dec'22 to Mar'23 expiry is underway, decent volumes this morning. First notice date is Wednesday, November 30. Current markets:

    • TUZ/TUH 29,700 from -9.38 to -8.5, -9.25 last, 5% complete
    • FVZ/FVH 71,500 from -11.0 to -10.25, -10.5 last, 4% complete
    • TYZ/TYH 61,400 from -9.0 to -8.5, -8.75 last, 4% complete
    • UXYZ/UXYH 29,900 from -2.25 to -1.5, 2% complete
    • USZ/USH 14,200 from 6.0 to 6.75, 6.25 last, 6% complete
    • WNZ/WNH 42,500 from -15.5 to -14.25, -15.25 last, 5% 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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