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Early Jun Futures Roll Update

US TSY FUTURES

Fairly muted early roll volumes so far (FVM/FVU traded >170k by Thu's close). Sep'22 futures take lead quarterly position on May 31, First Notice date. Current markets:

  • TUM/TUU 6,800 from 11.62 to 12.0, 11.88 last, 5% complete
  • FVM/FVU 13,900 from 12.75 to 13.25, 13.25 last, 6% complete
  • TYM/TYU 12,400 from 13.25 to 13.75, 13.5 last, 7% complete
  • UXYM/UXYU 2,000 from 1-05.75 to 1-06.25, 1-05.75 last, 2% complete
  • USM/USU <500 from 30.75 to 31.0, 30.75 last, 6% complete
  • WNM/WNU 5,700 from -1.25 to -0.25, -1.0 last, 7% complete

Reminder, Jun futures won't expire until next month: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.

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