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Early Jun/Sep Roll Update

US TSY FUTURES

Tsy quarterly futures roll activity rather modest at the moment, percentage complete no higher than 14% (5s). Sep'23 futures takes lead quarterly futures position on Wednesday, May 31 (First notice date). Current markets:

    • TUM/TUU 18,800 from -20.38 to -19.88, -20.12 last, 12% complete
    • FVM/FVU 17,600 from -19.25 to -18.75, -19.00 last, 14% complete
    • TYM/TYU 58,700 from -25.75 to -25.00, -25.25 last, 11% complete
    • UXYM/UXYU 5,200 from -100.5 to -31.75, -100.0 last, 8% complete
    • USM/USU 3,500 from -6.50 to -6.00, -6.25 last, 8% complete
    • WNM/WNU 5,600 from -14.75 to -14.25, -14.75 last, 5% 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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