May 23, 2024 18:12 GMT
Jun'24-Sep'24 Roll Update: 5s Outpacing 10s
US TSY FUTURES
Heavy Tsy quarterly futures roll volumes from Jun'24 to Sep'24 continues with Jun'24 5Y volumes 300k more than Jun'24 10Y at the moment (it was 600k a few minutes prior, but 300k TY rolls halved 5Y the lead). The "First Notice" date just over one week away on May 31. Current roll details:
- TUM/TUU appr 1,060,600 from -11.75 to -10.75, -10.88 last; 26% complete
- FVM/FVU appr 2,326,200 from -13.0 to -12.25, -12.5 last; 29% complete
- TYM/TYU appr 1,567,800 from -10.0 to -9.25, -10.0 last; 23% complete
- UXYM/UXYU appr 709,500 from -16.0 to -14.75, -15.25 last; 25% complete
- USM/USU 386,100 from -4.75 to -3.5, -4.5 last; 25% complete
- WNM/WNU under 382,900 from -7.0 to -5.75, -7.0 last; 20% complete
- Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 18, and June 28 for 2s and 5s. Jun options expire Friday.
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