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June/Sep Roll Update, Well Over 50% Complete

US TSY FUTURES

HEAVY volumes as Jun/Sep quarterly rolls continue apace, over 6.5M rolls across the curve. Over half complete ahead Friday's first notice date when Sep takes lead. June quarterly futures expire mid- to late June: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s. Current roll markets listed below:

  • TUM/TUU 797,000 from 2.38 to 2.75, 2.38 last; 54% complete
  • FVM/FVU 2,012,000 from 18.0 to 18.75, 18.0 last; 59% complete
  • TYM/TYU 2,270,500 from 28.0 to 28.75, 28.5 last; 56% complete
  • UXYM/UXYU 613,300 from 1-19 to 1-19.75, 1-19.5 last; 56% complete
  • USM/USU 416,200 from 1-18 to 1-19, 1-18.25 last, 59% complete
  • WNM/WNU 428,300 from 1-20 to 1-20.75, 1-20 last; 61% complete
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