May 20, 2024 13:33 GMT
Jun'24-Sep'24 Roll Update
US TSY FUTURES
Tsy quarterly futures roll from Jun'24 to Sep'24 gradually picking up ahead the "First Notice" date just over two weeks away on May 31. Percentage complete less than 5% across the curve. Current roll details:
- TUM/TUU appr 15,000 from -11.62 to -11.25, -11.38 last
- FVM/FVU appr 11,000 from -12.5 to -12.0, -12.25 last
- TYM/TYU appr 7,500 from -9.5 to -9.0, -9.25 last
- UXYM/UXYU appr 14,200 from -15.5 to -14.75, -15.0 last
- USM/USU 6,200 from -4.0 to -3.0, -3.25 last
- WNM/WNU under 4,000 from -5.5 to -5.0, -5.25 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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