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Late Jun'24-Sep'24 Roll Update

US TSY FUTURES
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Tsy quarterly futures roll volumes from Jun'24 to Sep'24 accelerating ahead the "First Notice" date just over two weeks away on May 31. Current roll details:

  • TUM/TUU appr 291,000 from -11.75 to -11.25, -11.5 last; 10% complete
  • FVM/FVU appr 745,000 from -12.75 to -12.25, -12.75 last; 12% complete
  • TYM/TYU appr 362,000 from -9.75 to -9.25, -9.75 last; 11% complete
  • UXYM/UXYU appr 169,200 from -15.5 to -14.75, -15.5 last; 10% complete
  • USM/USU 80,100 from -4.5 to -3.75, -4.25 last; 16% complete
  • WNM/WNU under 109,500 from -6.0 to -5.0, -6.0 last; 6% complete
  • Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 18, and June 28 for 2s and 5s. Jun options expire Friday.
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Tsy quarterly futures roll volumes from Jun'24 to Sep'24 accelerating ahead the "First Notice" date just over two weeks away on May 31. Current roll details:

  • TUM/TUU appr 291,000 from -11.75 to -11.25, -11.5 last; 10% complete
  • FVM/FVU appr 745,000 from -12.75 to -12.25, -12.75 last; 12% complete
  • TYM/TYU appr 362,000 from -9.75 to -9.25, -9.75 last; 11% complete
  • UXYM/UXYU appr 169,200 from -15.5 to -14.75, -15.5 last; 10% complete
  • USM/USU 80,100 from -4.5 to -3.75, -4.25 last; 16% complete
  • WNM/WNU under 109,500 from -6.0 to -5.0, -6.0 last; 6% complete
  • Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 18, and June 28 for 2s and 5s. Jun options expire Friday.