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Early Jun/Sep Roll Update

US TSY FUTURES

Tsy quarterly futures roll activity is supporting robust early session volumes (TYM3>380k already). Sep'23 futures takes lead quarterly futures position on Wednesday, May 31 (First notice date). Current markets:

    • TUM/TUU 16,700 from -20.5 to -20.0, -20.0 last, 8% complete
    • FVM/FVU 42,600 from -19.75 to -19.25, -19.25 last, 10% complete
    • TYM/TYU 16,100 from -26.0 to -25.50, -26.25 last, 9% complete
    • UXYM/UXYU 2,300 from -100.5 to -100.00, -100.25 last, 7% complete
    • USM/USU 3,100 from -7.00 to -6.5, -6.75 last, 8% complete
    • WNM/WNU 500 from -15.0 to -14.5, -14.75 last, 4% complete
  • Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.
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