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Late Jun Futures Roll Update

US TSY FUTURES

Late roll update: % complete mostly in the mid teens (10Y ultra bond lagging). Volumes gradually picking up ahead May 31 First Notice when Sep'22 futures taking lead quarterly position. Current markets:

  • TUM/TUU 280,000 from 11.75 to 12.75, 12.62 last, 13% complete
  • FVM/FVU 576,400 from 11.75 to 13.0, 12.5 last, 17% complete
  • TYM/TYU 371,400 from 12.00 to 13.0, 12.75 last, 15% complete
  • UXYM/UXYU 88,100 from 1-06 to 1-06.5, 1-06 last, 7% complete
  • USM/USU 106,800 from 30.5 to 31.0, 30.75 last, 17% complete
  • WNM/WNU 201,600 from -3.25 to -1.50, -2.75 last, 19% complete

Reminder, Jun futures won't expire until next month: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.

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