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Late Jun/Sep Roll Update: Heavy Volumes

US TSY FUTURES

Heavy roll volume in the second half, percentage complete near 25%. Sep'23 futures take lead quarterly position on Wednesday, May 31 (First notice date). Current markets:

    • TUM/TUU 757,500 from -20.5 to -19.38, -20.38 last, 31% complete
    • FVM/FVU 1,060,100 from -19.5 to -18.5, -18.75 last, 30% complete
    • TYM/TYU 1,043,100 from -25.25 to -24.50, -24.50 last, 26% complete
    • UXYM/UXYU 470,900 from -31.50 to -30.25, -31.25 last, 23% complete
    • USM/USU 233,100 from -7.00 to -6.5, -7.0 last, 25% complete
    • WNM/WNU 348,300 from -15.00 to -14.25, -15.0 last, 28% 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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