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Early Jun'24-Sep'24 Roll Details

US TSY FUTURES
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The latest Tsy quarterly futures roll from Jun'24 to Sep'24 is underway. Still early in the process with light volumes ahead the "First Notice" date just over two weeks away on May 31, % complete less than 1% across the curve. Current roll details:

  • TUM/TUU under 3,000 from -12.12 to -11.0, -11.75 last
  • FVM/FVU under 8,000 from -12.75 to -11.75, -12.5 last
  • TYM/TYU under 14,000 from -9.25 to -8.5, -9.0 last
  • UXYM/UXYU under 5,000 from -16.0 to -15.0, -15.75 last
  • USM/USU 7,000 from -3.75 to -3.0, -3.5 last
  • WNM/WNU under 1,000 from -3.0 to -1.75, -2.25 last
  • Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 18, and June 28 for 2s and 5s.
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The latest Tsy quarterly futures roll from Jun'24 to Sep'24 is underway. Still early in the process with light volumes ahead the "First Notice" date just over two weeks away on May 31, % complete less than 1% across the curve. Current roll details:

  • TUM/TUU under 3,000 from -12.12 to -11.0, -11.75 last
  • FVM/FVU under 8,000 from -12.75 to -11.75, -12.5 last
  • TYM/TYU under 14,000 from -9.25 to -8.5, -9.0 last
  • UXYM/UXYU under 5,000 from -16.0 to -15.0, -15.75 last
  • USM/USU 7,000 from -3.75 to -3.0, -3.5 last
  • WNM/WNU under 1,000 from -3.0 to -1.75, -2.25 last
  • Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 18, and June 28 for 2s and 5s.