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Late Jun/Sep Roll Update

US TSY FUTURES

Strong Tsy quarterly futures roll activity underpinning late session volumes (TYM3>1.65M; TYM3>1.4M). Sep'23 futures takes lead quarterly futures position on Wednesday, May 31 (First notice date). Current markets:

    • TUM/TUU 145,400 from -20.62 to -19.5, -20.0 last, 10% complete
    • FVM/FVU 270,400 from -19.75 to -18.75, -19.0 last, 13% complete
    • TYM/TYU 169,600 from -26.0 to -24.75, -25.0 last, 10% complete
    • UXYM/UXYU 28,700 from -100.5 to -31.5, -100.0 last, 8% complete
    • USM/USU 39,500 from -7.00 to -6.25, -6.25 last, 11% complete
    • WNM/WNU 40,800 from -15.0 to -14.25, -14.5 last, 5% complete
  • Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.
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