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Heaviest Volume for Latest Quarterly Roll

US TSY FUTURES

Latest Tsy quarterly futures roll volume from Sep'23 to Dec'23 below, heaviest to date, most at or above 75% complete with Dec'23 futures taking lead quarterly position this Thursday morning. Current markets:

    • TUU/TUZ 812,000 from -13.75 to -13.25, -13.62 last, 77% complete
    • FVU/FVZ 1,830,000 from -17.0 to -16.25, -16.75 last, appr 78% complete
    • TYU/TYZ 1,632,000 from -16.25 to -15.0, -16.0 last, appr 77% complete
    • UXYU/UXYZ 420.,000 from -20.25 to -18.75, -19 last, appr 71% complete
    • USU/USZ 251,800 from -6.75 to -5.75, -6.5 last, appr 75% complete
    • WNU/WNZ 243,300 from -122.5 to -120.25, -121.25 last, 80% 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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