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Early Sep/Dec Tsy Roll Update

US TSY FUTURES

Latest Tsy Sep/Dec roll volumes below. Expect volume surge this week ahead First notice date (Dec takes lead) on Wednesday August 31. Current markets:

    • TUU/TUZ 8,300 from 3.75 to 4.38, 3.88 last, 4% complete
    • FVU/FVZ 27,400 from -2.75 to -2.00, -2.75 last, 7% complete
    • TYU/TYZ 25,100 from -4.0 to -3.25, -3.5 last, 7% complete
    • UXYU/UXYZ 3,600 from 20.5, 1% complete
    • USU/USZ 12,600 from 17.75 to 24.25, 21.75 last, 2% complete
    • WNU/WNZ 5,400 from 6.75 to 7.75, +7.5 last, 7% 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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