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Jun Futures Roll Update, Near 75% Complete

US TSY FUTURES

Late update -- over 60% complete ahead May 31 First Notice date. Usually spds hold to a 1-2 point intra-day range but note the huge range in 30Y ultra bond from -3.0 to +20.5 -- this tends to occur late in the roll cycle on the less liquid Ultra-bond futures, occurring to a lesser degree over the past six rolls. Current markets:

  • TUM/TUU 1,113,100 from 11.12 to 12.50, 12.38 last, 66% complete
  • FVM/FVU 2,327,800 from 12.25 to 13.5, 13.25 last, 72% complete
  • TYM/TYU 1,958,800 from 11.5 to 13.00, 11.75 last, 70% complete
  • UXYM/UXYU 502,300 from 1-03.5 to 1-07, 1-04.5 last, 76% complete
  • USM/USU 406,300 from 30.0 to 31.0, 30.75 last, 72% complete
  • WNM/WNU 481,400 from -3.0 to 20.5, +13.5 last, 80% 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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