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Early Mar/Jun Tsy Roll Update


Tsy quarterly futures roll from Mar'23 to Jun'23 expiry - volume update. First notice date of Tuesday, February 28. Current markets:

    • TUH/TUM 27,100 from -9.25 to -8.25, -9.12 last, appr 6% complete
    • FVH/FVM 45,800 from -14.5 to -14.0, -14.25 last, appr 7% complete
    • TYH/TYM 18,700 from -16.00 to -15.25, -16.00 last, appr 4% complete
    • UXYH/UXYM 9,400 from 1.25, appr 2% complete
    • USH/USM 2,700 from -1-02 to -30, -1-00.75 last, 3% complete
    • WNH/WNM under 4,400 from -20.0 to -19.5, -19.5 last, 7% 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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