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Early Jun'24-Sep'24 Roll Update

US TSY FUTURES
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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. Current roll details:

  • TUM/TUU appr 23,700 from -11.75 to -11.25, -11.38 last; 6% complete
  • FVM/FVU appr 57,600 from -12.75 to -12.25, -12.25 last; 7% complete
  • TYM/TYU appr 18,600 from -9.5 to -9.25, -9.25 last; 7% complete
  • UXYM/UXYU appr 4,300 from -15.25 to -15.0, -15.0 last; 8% complete
  • USM/USU 7,000 from -4.25 to -3.75, -4.0 last; 12% complete
  • WNM/WNU under 2,500 from -5.5 to -5.0, -5.25 last; 4% complete
  • 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. Current roll details:

  • TUM/TUU appr 23,700 from -11.75 to -11.25, -11.38 last; 6% complete
  • FVM/FVU appr 57,600 from -12.75 to -12.25, -12.25 last; 7% complete
  • TYM/TYU appr 18,600 from -9.5 to -9.25, -9.25 last; 7% complete
  • UXYM/UXYU appr 4,300 from -15.25 to -15.0, -15.0 last; 8% complete
  • USM/USU 7,000 from -4.25 to -3.75, -4.0 last; 12% complete
  • WNM/WNU under 2,500 from -5.5 to -5.0, -5.25 last; 4% complete
  • 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.