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Late Dec/Mar Quarterly Futures Roll Update: Volume Surge

US TSY FUTURES

Latest Tsy quarterly futures roll volume from Dec'23 to Mar'23 summary below. "First Notice" date on November 30. Current markets:

    • TUZ/TUH 225,100 from -13.88 to -13.25, -13.75 last, appr 5% complete
    • FVZ/FVH 323,200 from -15.5 to -14.5, -15.25 last, appr 6% complete
    • TYZ/TYH 148,100 from -12.25 to -11.75, -12.0 last, appr 4% complete
    • UXYZ/UXYH 162,400 from -9.5 to -9.0, -9.25 last, appr 6% complete
    • USZ/USH 67,000 from -1.75 to -1.0, -1.5 last, appr 5% complete
    • WNZ/WNH 46,500 from -29.0 to -27.25, -28.75 last, appr 3% complete
  • Reminder, December futures won't expire until next month: 10s, 30s and Ultras on December 19, and the 29th for 2s and 5s.

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