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Early Mar'24/Jun'24 Quarterly Roll Update, 5Y Leads Volume

US TSY FUTURES

Updated Tsy quarterly futures roll from Mar'24 to Jun'24: volumes remain modest ahead the "First Notice" date on February 29. Current roll details:

  • TUH/TUM 12,900 from -15.75 to -15.25, -15.62 last, 2% complete
  • FVH/FVM 35,500 from -12.75 to -12.25, -12.75 last, 2% complete
  • TYH/TYM 9,200 from -17.25 to -16.5, -17.0 last, 3% complete
  • UXYH/UXYM 13,400 from -6.5 to -6.0, -6.0 last, 1% complete
  • USH/USM 2,000 from -0.75 to -0.25, -0.5 last, 1% complete
  • WNH/WNM 4,800 from -1-26.25 to -1-24, -1-25.5 last, 2% complete
  • Reminder, March futures won't expire until next month: 10s, 30s and Ultras on March 19, and the 28th for 2s and 5s.

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