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Late Jun/Sep Roll Update

US TSY FUTURES

Heavy futures volume as June/Sep roll nears 25% complete ahead Friday's first notice date. June quarterly futures expire mid- to late June: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s. Current roll markets listed below:

  • TUM/TUU 544,600 from 2.62 to 2.88, 2.88 last; 22% complete
  • FVM/FVU 1,112,600 from 18.5 to 19.25, 18.75 last; 23% complete
  • TYM/TYU 737,300 from 28.25 to 28.75, 28.25 last; 21% complete
  • UXYM/UXYU 350,600 from 1-19 to 1-19.5, 1-19.25 last; 22% complete
  • USM/USU 372,000 from 1-18 to 1-18.75, 1-18.5 last, 24% complete
  • WNM/WNU 412,700 from 1-20.25 to 1-20.75, 1-20.5 last; 28% complete

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