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Late Jun/Sep Roll Update

US TSY FUTURES

Heavier roll volumes, but futures still have a long way to go before Sep'23 futures takes lead quarterly futures position on Wednesday, May 31 (First notice date). Current markets:

    • TUM/TUU 268,000 from -20.38 to -19.75, -19.75 last, 16% complete
    • FVM/FVU 326,800 from -19.25 to -18.75, -19.00 last, 17% complete
    • TYM/TYU 279,000 from -25.75 to -24.75, -25.00 last, 14% complete
    • UXYM/UXYU 125,400 from -100.5 to -30.75, -31.25 last, 10% complete
    • USM/USU 77,700 from -6.75 to -5.75, -6.25 last, 13% complete
    • WNM/WNU 140,000 from -15.00 to -14.25, -14.5 last, 10% 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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