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Jun/Sep Tsy Roll Underway

US TSY FUTURES

Tsy quarterly futures roll from Jun'23 to Sep'23 expiry is just getting underway, light volumes (most below 5k) as still early in the process. First notice date is Wednesday, May 31. Current markets:

    • TUM/TUU from -22.0 to -21.62, -21.62 last, <1% complete
    • FVM/FVU 8,400 from -20.25 to -19.75, -20.0 last, <1% complete
    • TYM/TYU 2,900 from -27.25 to -26.5, -26.75 last, appr 2% complete
    • UXYM/UXYU from -101.75 to -100.75, -101 last, appr 1% complete
    • USM/USU from -7.25 to -6.5, -7 last, 2% complete
    • WNM/WNU from -14.75 to -14.5, -14.5 last, appr 1% complete
  • Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.

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