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Early Sep/Dec Quarterly Futures Roll Update

US TSY FUTURES

Tsy quarterly futures roll volume from Sep'23 to Dec'23 summary below. "First Notice" date, when the current lead quarterly passes the honor to the following quarterly, is only two weeks away on August 31. Current markets:

    • TUU/TUZ 5,000 from -14.0 to -13.5, -14.0 last, 2% complete
    • FVU/FVZ 17,500 from -16.0 to -15.5, -15.75 last, appr 4% complete
    • TYU/TYZ 12,100 from -15.5.00 to -14.25, -14.5 last, appr 3% complete
    • UXYU/UXYZ <500 from -18.0 to -17.5, -17.75 last, appr 1% complete
    • USU/USZ 2,600 from -6.75 to -6.0, -6.25 last, appr 5% complete
    • WNU/WNZ 2,600 from -117.75 to -114.5, -115.5 last, appr 8% complete
  • Reminder, September futures won't expire until next month: 10s, 30s and Ultras on September 20, September 29 for 2s and 5s.
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