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Early Roll Update: Over The Hump

US TSY FUTURES

Sep futures cede lead quarterly to Dec futures on Aug 31 "first notice" date. Sep futures won't expire until mid-late September: 10s, 30s and Ultras on 9/21; 2s & 5s 9/30. Percentage completion:

  • TUU/TUZ appr 85,700 -1.12 last; appr 74% complete
  • FVU/FVZ appr 101,300 -4.0 last; appr 74% complete
  • TYU/TYZ appr 214,100 4.5 last; appr 77% complete
  • UXYU/UXYZ 38,100, -2-05 last; appr 69% complete
  • USU/USZ 19,200, 1-21.25 last; appr 77% complete
  • WNU/WNZ 22,600, -3-11.75 last; appr 72% complete

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