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June/September Roll Update

US TSY FUTURES

Early roll update, volumes and percentage completion still quite low ahead Friday, May 28 first notice date. Note, June Tsy options expire this Friday, while 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 >1,000 from 2.88-3.0, 3.0 last
  • FVM/FVU 8,200 from 18.5-19.0, 18.75 last
  • TYM/TYU 3,700 from 27.25 to 1-27.75, 27.75 last
  • UXYM/UXYU >600 from 1-18.5 to 1-19, 1-19 last
  • USM/USU <500 from 1-18.5 to 1-18.75, 1-18.5 last
  • WNM/WNU >600 from 1-20.75-1-21.25, 1-21 last

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