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Early Mar'23/Jun'23 Roll Update

US TSY FUTURES

Tsy quarterly futures roll from Mar'23 to Jun'23 appr 25%, 10Y ultra-bond and 30s lagging pace. First notice date: Tuesday, February 28. Current markets:

    • TUH/TUM 85,100 from -9.25 to -8.5, -9.12 last, appr 22% complete
    • FVH/FVM 130,700 from -13.75 to -13.0, -13.5 last, appr 24% complete
    • TYH/TYM 228,400 from -16.25 to -15.5, -15.75 last, appr 22% complete
    • UXYH/UXYM 28,500 from 1.25 to 1.75, 1.5 last, appr 17% complete
    • USH/USM 14,100 from -1-02.25 to -1-00.75, -1-01 last, 17% complete
    • WNH/WNM 111,800 from -19.75 to -18.75, -18.75 last, 26% complete
  • Reminder, March futures won't expire until next month: 10s, 30s and Ultras on March 22, 2s and 5s on March 31.
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