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Early Sep/Dec Roll Update

US TSY FUTURES

Tsy Sep/Dec roll volume remains modest ahead next week's First notice date is Wednesday August 31. Current markets:

    • TUU/TUZ 6,700 from 1.25 to 2.5, 2.15 last, 2% complete
    • FVU/FVZ 9,100 from -3.25 to -3.0, -3.0 last, 3% complete
    • TYU/TYZ 19,300 from -3.75 to -3.25, -3.75 last, 3% complete
    • UXYU/UXYZ <400 from 20.25, <1% complete
    • USU/USZ <200 from 16.75 to 17.0, 16.75 last, 1% complete
    • WNU/WNZ 10,100 from 6.0 to 6.75, +6.0 last, 5% complete
  • Reminder, Sep futures won't expire until next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

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