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Jun/Sep Roll Nearly Complete

US TSY FUTURES

Late roll update, nearly complete ahead Fri's first notice, at least 85% complete across the curve. Complete debacle in 30Y roll around 1220ET saw spd gap up to 2-26 high on appr 16,300 -- since adjusted by exchange: all spds from 1-26.25 to 2-26 ajusted to 1-26.25 (new session high) though spd trading around 1-19.25 now. Unintended consequence of fat finger: it appears more spds traded than needed rolling: % complete appr 108% according to CME site. Current roll markets listed below:

  • TUM/TUU 692,000 from 2.12 to 2.5, 2.25 last; 85% complete
  • FVM/FVU 1,345,000 from 17.75 to 18.75, 18.5 last; 88% complete
  • TYM/TYU 1,418,500 from 27.5 to 28.5, 28.25 last; 84% complete
  • UXYM/UXYU 518,500 from 1-19.5 to 1-20.25, 1-20 last; 87% complete
  • USM/USU 748,500 from 1-18 to 1-26.25, 1-18.25 last, **% complete
  • WNM/WNU 259,500 from 1-18 to 1-20.5, 1-18.75 last; 91% complete
June quarterly futures expire mid- to late June: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.
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