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Early Roll Update: TYU, USU Nearly Done

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 36,500 -1.0 last; appr 87% complete
  • FVU/FVZ appr 33,700 -3.5 last; appr 91% complete
  • TYU/TYZ appr 97,500 5.25 last; appr 95% complete
  • UXYU/UXYZ 6,800, -2-02 last; appr 82% complete
  • USU/USZ 13,500, 1-21.25 last; appr 97% complete
  • WNU/WNZ 9,700, -3-02.25 last; appr 86% complete

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