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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 running light so far. "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 2,000 from -14.12 to -13.75, -14.0 last, 3% complete
    • FVU/FVZ 10,200 from -16.0 to -15.5, -16.0 last, appr 5% complete
    • TYU/TYZ 2,500 from -14.75 to -14.25, -14.75 last, appr 3% complete
    • UXYU/UXYZ 600 from -18.5 to -17.75, -18.25 last, appr 1% complete
    • USU/USZ 10,200 from -6.0 to -5.25, -5.25 last, appr 6% complete
    • WNU/WNZ 800 from -117.25 to -116.0, -117.0 last, appr 9% 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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