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Jun Futures Roll Update: Near 25% Complete

US TSY FUTURES

Early roll update: nearing 25% completion give-or-take (pace of 2s and 10Y ultra bond continues to lag) ahead May 31 First Notice date. Heavier volumes making up appr half early session volumes in 5s and 10s. Current markets:

  • TUM/TUU 332,900 from 12.62 to 13.12, 12.12 last, 19% complete
  • FVM/FVU 511,800 from 12.0 to 12.75, 12.75 last, 25% complete
  • TYM/TYU 504,000 from 11.75 to 13.00, 12.0 last, 22% complete
  • UXYM/UXYU 118,500 from 1-06 to 1-06.5, 1-06.25 last, 16% complete
  • USM/USU 38,300 from 30.25 to 30.75, 30.5 last, 25% complete
  • WNM/WNU 152,700 from -3.75 to -2.5, -3.5 last, 32% 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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