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June/September Roll Update

US TSY FUTURES

Early roll update, modest volumes so far after surge in 5s and 10s late Tuesday. Percentage complete still below 5% across the curve. First notice date, May 28. 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 8,800 from 2.75-3.0, 2.88 last
  • FVM/FVU 12,100 from 19.0-19.5, 19.25 last
  • TYM/TYU 7,600 from 28.0 to 28.75, 28.75 last
  • UXYM/UXYU 10,100, 1-18.75 last
  • USM/USU <500 from 1-18.25 to 1-18.5, 1-18.5 last
  • WNM/WNU 1,400 from 1-20.75-1-21, 1-20.75 last
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