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Early Jun/Sep Roll Update: Over 60% Complete

US TSY FUTURES

The Jun/Sep quarterly futures roll is over 60% complete after this week's heavy volumes logged. Sep'23 futures take lead quarterly position on Wednesday, May 31 (First notice date). Current levels:

    • TUM/TUU 212,800 from -20.38 to -19.75, -20.0 last, 70% complete
    • FVM/FVU 220,300 from -19.5 to -18.75, -19.0 last, 64% complete
    • TYM/TYU 324,800 from -25.25 to -24.75, -24.75 last, 64% complete
    • UXYM/UXYU 56,200 from -31.25 to -30.25, -31.0 last, 69% complete
    • USM/USU 37,600 from -9.0 to -8.0, -8.5 last, 66% complete
    • WNM/WNU 26,700 from -15.5 to -15.0, -15.5 last, 75% 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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