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Late Jun'24-Sep'24 Roll Update

US TSY FUTURES

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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