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Late Jun/Sep Roll Update: Over 80% Complete

US TSY FUTURES

The Jun/Sep quarterly futures roll is over 80% complete after this week's heavy volumes. Sep'23 futures take lead quarterly position on Wednesday, May 31 (First notice date). Current levels:

    • TUM/TUU 771,200 from -20.38 to -19.25, -19.38 last, 84% complete
    • FVM/FVU 1,794,000 from -19.5 to -18.75, -19.0 last, 85% complete
    • TYM/TYU 1,548,800 from -25.25 to -24.5, -24.75 last, 82% complete
    • UXYM/UXYU 457,800 from -31.25 to -29.75, -30.5 last, 88% complete
    • USM/USU 240,500 from -10.25 to -8.0, -10.0 last, 82% complete
    • WNM/WNU 281,100 from -15.75 to -15.0, -15.75 last, 90% 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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