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Early Session Sep'24-Dec'24 Roll Update

US TSY FUTURES

Expect heavy volumes this week as quarterly Treasury futures rolls from Sep'24 to Dec'24 is still less than 50% complete ahead Friday's "First Notice" date. Current roll details:

  • TUU4/TUZ4 appr 128,000 from -17.25 to -16.75, -17.25 last, 35% complete
  • FVU4/FVZ4 appr 189,000 from -18.75 to -18.25, -18.5 last, 40% complete
  • TYU4/TYZ4 appr 210,000 from -19.00 to -18.75, -18.75 last, 35% complete
  • UXYU4/UXYZ4 appr 27,000 from -10.25 to -10.0, -10.25 last, 33% complete
  • USU4/USZ4 26,500 from -6.0 to -5.75, -5.75 last, 37% complete
  • WNU4/WNZ4 appr 43,100 from -30.75 to -29.25, -30.25 last, 39% complete
  • Reminder, September futures won't expire until next month: 10s, 30s and Ultras on September 19, 2s and 5s on September 23.
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