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Jun'24-Sep'24 Roll Update: Shifting to High Gear

US TSY FUTURES
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Heavy Tsy quarterly futures roll volumes from Jun'24 to Sep'24 so far this morning. The "First Notice" date just over one week away on May 31. Current roll details:

  • TUM/TUU appr 639,700 from -11.75 to -10.75, -10.88 last; 20% complete
  • FVM/FVU appr 1,756,000 from -13.0 to -12.25, -12.5 last; 25% complete
  • TYM/TYU appr 637,100 from -9.75 to -9.25, -9.5 last; 20% complete
  • UXYM/UXYU appr 283,400 from -16.0 to -15.0, -15.25 last; 19% complete
  • USM/USU 128,200 from -4.75 to -3.5, -4.0 last; 20% complete
  • WNM/WNU under 196,400 from -7.0 to -5.75, -6.75 last; 16% 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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Heavy Tsy quarterly futures roll volumes from Jun'24 to Sep'24 so far this morning. The "First Notice" date just over one week away on May 31. Current roll details:

  • TUM/TUU appr 639,700 from -11.75 to -10.75, -10.88 last; 20% complete
  • FVM/FVU appr 1,756,000 from -13.0 to -12.25, -12.5 last; 25% complete
  • TYM/TYU appr 637,100 from -9.75 to -9.25, -9.5 last; 20% complete
  • UXYM/UXYU appr 283,400 from -16.0 to -15.0, -15.25 last; 19% complete
  • USM/USU 128,200 from -4.75 to -3.5, -4.0 last; 20% complete
  • WNM/WNU under 196,400 from -7.0 to -5.75, -6.75 last; 16% 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.