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Jun Futures Roll Update

US TSY FUTURES

Early roll update: % complete mostly in the low teens (2s and 10Y ultra bond lagging). Expect volumes to surge from current modest levels w/ Sep'22 futures taking lead quarterly position on May 31, First Notice date. Current markets:

  • TUM/TUU 19,500 from 11.75 to 12.25, 12.12 last, 7% complete
  • FVM/FVU 16,700 from 12.5 to 13.0, 12.5 last, 11% complete
  • TYM/TYU 36,100 from 12.25 to 12.75, 12.5 last, 12% complete
  • UXYM/UXYU 4,000 from 1-06 to 1-06.5, 1-06.25 last, 5% complete
  • USM/USU 2,200 from 30.5 to 31.0, 30.75 last, 13% complete
  • WNM/WNU 8,000 from -2.5 to -2.0, -2.25 last, 12% complete

Reminder, Jun futures won't expire until next month: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.

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