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Early Session Sep'24-Dec'24 Roll Update

US TSY FUTURES

Sep/Dec quarterly roll continues, percentage complete between 60-65% after surge in Monday volumes. Dec'24 contract takes lead Friday. Current roll details:

  • TUU4/TUZ4 appr 421,000 from -17.25 to -16.88, -16.88 last, 65% complete
  • FVU4/FVZ4 appr 639,700 from -18.50 to -18.00, -18.00 last, 66% complete
  • TYU4/TYZ4 appr 801,000 from -19.00 to -18.50, -18.50 last, 60% complete
  • UXYU4/UXYZ4 appr 228,500 from -10.25 to -10.0, -10.25 last, 60% complete
  • USU4/USZ4 65,000 from -6.50 to -5.75, -6.00 last, 67% complete
  • WNU4/WNZ4 appr 51,800 from -1-00.25 to -30.25, -31.5 last, 67% 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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