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Early Jun/Sep Roll Update

US TSY FUTURES

Early roll volumes running light at the moment, long way to go before Sep'23 futures take lead quarterly position on Wednesday, May 31 (First notice date). Current markets:

    • TUM/TUU 83,100 from -20.12 to -19.5, -19.62 last, 21% complete
    • FVM/FVU 65,700 from -19.25 to -18.5, -18.75 last, 21% complete
    • TYM/TYU 41,800 from -25.00 to -24.75, -24.75 last, 18% complete
    • UXYM/UXYU 16,900 from -31.25 to -30.5, -31.0 last, 15% complete
    • USM/USU 4,900 from -7.00 to -6.5, -6.75 last, 18% complete
    • WNM/WNU 4,900 from -15.00 to -14.25, -14.75 last, 17% 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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