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Jun Futures Roll Update: Over 30% Complete

US TSY FUTURES

Midday 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 1,076,000 from 11.62 to 13.12, 12.0 last, 30% complete
  • FVM/FVU 1,367,000 from 11.75 to 12.75, 12.0 last, 35% complete
  • TYM/TYU 1,463,000 from 11.75 to 13.00, 12.0 last, 32% complete
  • UXYM/UXYU 535,800 from 1-05.5 to 1-06.75, 1-06.25 last, 30% complete
  • USM/USU 344,400 from 30.0 to 30.75, 30.25 last, 38% complete
  • WNM/WNU 450,700 from -4.0 to -2.5, -3.5 last, 46% 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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