May 17, 2024 11:29 GMT
Jun'24-Sep'24 Roll Update
US TSY FUTURES
Tsy quarterly futures roll from Jun'24 to Sep'24 update: Still early in the process with the "First Notice" date two weeks away on May 31. Percentage complete 1%-3% across the curve. Current roll details:
- TUM/TUU under 2,000 from -11.75 to -11.62, -11.62 last
- FVM/FVU under 8,000 from -13.0 to -12.50, -12.50 last
- TYM/TYU under 2,000 from -9.75 to -9.25, -9.25 last
- UXYM/UXYU under 3,000 from -16.25 to -15.5, -15.5 last
- USM/USU under 3,000 from -4.5 to -3.5, -3.75 last
- WNM/WNU under 3,000 from -5.5 to -5.0, -5.0 last
- Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 18, and June 28 for 2s and 5s.
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