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Heavy Volumes Tied to Quarterly Roll​

US TSY FUTURES

Quick volume update, percentage complete climbing over 25% ahead next Tuesday First notice date when June takes lead. Current markets:

    • TUH/TUM 530,000 from -9.38 to -8.5, -9.38 last, appr 29% complete
    • FVH/FVM 1,076,000 from -14.00 to -12.75, -14.0 last, appr 32% complete
    • TYH/TYM 1,080,000 from -16.25 to -15.5, -15.75 last, appr 29% complete
    • UXYH/UXYM 289,200 from 1.0 to 1.75, 1.25 last, appr 25% complete
    • USH/USM 225,400 from -1-04.25 to -1-00.75, -1-03.75 last, 25% complete
    • WNH/WNM 403,600 from -19.75 to -18.5, -19.0 last, 35% complete
  • Reminder, March futures won't expire until next month: 10s, 30s and Ultras on March 22, 2s and 5s on March 31.

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