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Early Sep'24-Dec'24 Roll Update

US TSY FUTURES

Tsy quarterly futures roll from Sep'24 to Dec'24 is underway. Percentage complete less than 5% across the curve ahead the "First Notice" date on August 30. Current roll details:

  • TUU4/TUZ4 appr 18,400 from -11.5 to -16.5, -16.25 last
  • FVU4/FVZ4 appr 36,900 from -17.75 to -17.25, -17.75 last
  • TYU4/TYZ4 appr 35,800 from -18.25 to -17.75, -18.0 last
  • UXYU4/UXYZ4 appr 8,300 from -10.25 to -9.75, -10.25 last
  • USU4/USZ4 9,500 from -5.75 to -5.25, -5.75 last
  • WNU4/WNZ4 appr 11,400 from -1-10.5 to -31, -1.0125 last
  • Reminder, September futures won't expire until next month: 10s, 30s and Ultras on September 19, 2s and 5s on September 23. Sep options expire this Friday.

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