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Late Jun/Sep Tsy Roll Update

PIPELINE

Tsy quarterly futures roll from Jun'23 to Sep'23 update, 2s, 5s and 10s leading light overall volume. First notice date is Wednesday, May 31. Current markets:

    • TUM/TUU 7,800 from -22.12 to -21.62, -22.0 last, <1% complete
    • FVM/FVU 18,400 from -20.25 to -19.75, -19.75 last, <1% complete
    • TYM/TYU 15,400 from -27.25 to -26.5, -26.75 last, appr 2% complete
    • UXYM/UXYU 4,000 from -101.75 to -100.25, -101 last, appr 1% complete
    • USM/USU 2,100 from -7.25 to -6.5, -6.75 last, 2% complete
    • WNM/WNU 1,300 from -15.0 to -14.5, -14.75 last, appr 1% 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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