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Late Dec/Mar Tsy Roll Level Update

US TSY FUTURES

Tsy quarterly futures roll from Dec'22 to Mar'23 expiry is underway, decent volumes by the bell. First notice date is Wednesday, November 30. Current markets:

    • TUZ/TUH 89,300 from -9.38 to -8.5, -8.88 last, 6% complete
    • FVZ/FVH 98,500 from -11.0 to -10.25, -10.25 last, 5% complete
    • TYZ/TYH 140,300 from -9.0 to -8.5, -8.5 last, 5% complete
    • UXYZ/UXYH 52,100 from -2.25 to -1.25, -1.5 last, 2% complete
    • USZ/USH 33,300 from 6.0 to 6.75, 6.0 last, 6% complete
    • WNZ/WNH 72,800 from -15.5 to -14.25, -15.25 last, 5% complete
  • Reminder, Dec futures won't expire until next month: 10s, 30s and Ultras on December 20, December 30 for 2s and 5s.

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