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Early Jun'24-Sep'24 Roll Update

US TSY FUTURES

Tsy quarterly futures roll from Jun'24 to Sep'24 picking up ahead the "First Notice" date just over two weeks away on May 31. Percentage complete less than 5% across the curve. Current roll details:

  • TUM/TUU appr 28,000 from -11.62 to -11.25, -11.62 last
  • FVM/FVU appr 51,200 from -12.75 to -12.50, -12.25 last
  • TYM/TYU appr 25,000 from -9.5 to -9.0, -9.25 last
  • UXYM/UXYU appr 17,100 from -15.5 to -15.25, -15.0 last
  • USM/USU 16,100 from -4.0 to -3.25, -3.75 last
  • WNM/WNU under 9,600 from -5.5 to -5.0, -5.0 last
  • Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 18, and June 28 for 2s and 5s. Jun options expire Friday.
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Tsy quarterly futures roll from Jun'24 to Sep'24 picking up ahead the "First Notice" date just over two weeks away on May 31. Percentage complete less than 5% across the curve. Current roll details:

  • TUM/TUU appr 28,000 from -11.62 to -11.25, -11.62 last
  • FVM/FVU appr 51,200 from -12.75 to -12.50, -12.25 last
  • TYM/TYU appr 25,000 from -9.5 to -9.0, -9.25 last
  • UXYM/UXYU appr 17,100 from -15.5 to -15.25, -15.0 last
  • USM/USU 16,100 from -4.0 to -3.25, -3.75 last
  • WNM/WNU under 9,600 from -5.5 to -5.0, -5.0 last
  • Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 18, and June 28 for 2s and 5s. Jun options expire Friday.