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June/September Roll Underway

US TSY FUTURES

Early roll update, volumes and percentage completion still quite low ahead first notice date -- just 2 weeks away on Friday, May 28. Note, while June Tsy options expire next week Friday, the 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 >500 from 2.88-3.0, 2.88 last
  • FVM/FVU 2,700 from 18.5-19.0, 18.75 last
  • TYM/TYU 4,800 from 27.5 to 1-28.0, 27.75 last
  • UXYM/UXYU 3,000 from 1-16.25 to 1-19.5, 1-19.25 last
  • USM/USU >600 from 1-18.5 to 1-18.75, 1-18.5 last
  • WNM/WNU 1,800 from 1-20.5-1-21.75, 1-21 last

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