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Late Dec/Mar Roll Update: Well Over 50% Complete

US TSY FUTURES

Second Day Heavy Volumes as position holders scrambling to roll from Dec to Mar with shortened Thanksgiving holiday work week ahead Nov 30 "first notice". Dec futures won't expire until mid-late December: 10s, 30s and Ultras on 12/21; 2s & 5s 12/31.

  • TUZ/TUH appr 656,800 0.25 last; 64% complete
  • FVZ/FVH appr 844,200 -10.25 last; 64% complete
  • TYZ/TYH appr 1,297,600 12.5 last; 69% complete
  • UXYZ/UXYH appr 279,700, 18.75 last; 70% complete
  • USZ/USH appr 480,800, -1-06.25 last; 77% complete
  • WNZ/WNH appr 312,200, 1-21 last; 83% complete

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