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June/September Roll Update

US TSY FUTURES

Roll update, strong early volumes, expect pace to accelerate ahead the 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 30,600 from 2.75-3.0, 3.0 last
  • FVM/FVU 62,100 from 19.0-19.5, 19.25 last
  • TYM/TYU 51,200 from 28.5 to 29.0, 29.0 last
  • UXYM/UXYU 18,500 from 1-19 to 1-19.5, 1-19.25 last
  • USM/USU 9,200 from 1-18.5 to 1-19, 1-18.75 last
  • WNM/WNU 15,300 from 1-20.5-1-21, 1-20.5 last

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