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Late June Futures Roll Update

US TSY FUTURES

Late roll volume update, continuing to accelerate, 5s and 10s outpacing. Sep'22 futures take lead quarterly position on May 31, First Notice date. Current markets:

  • TUM/TUU 77,600 from 11.50 to 12.0, 11.62 last, 6% complete
  • FVM/FVU 239,800 from 12.25 to 13.25, 12.5 last, 8% complete
  • TYM/TYU 170,200 from 12.25 to 13.75, 12.5 last, 9% complete
  • UXYM/UXYU 40,400 from 1-05.75 to 1-06.25, 1-06.25 last, 3% complete
  • USM/USU 70,900 from 30.5 to 31.0, 30.75 last, 8% complete
  • WNM/WNU 97,900 from -2.25 to -0.25, -2.0 last, 9% complete

Reminder, Jun futures won't expire until next month: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.

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Late roll volume update, continuing to accelerate, 5s and 10s outpacing. Sep'22 futures take lead quarterly position on May 31, First Notice date. Current markets:

  • TUM/TUU 77,600 from 11.50 to 12.0, 11.62 last, 6% complete
  • FVM/FVU 239,800 from 12.25 to 13.25, 12.5 last, 8% complete
  • TYM/TYU 170,200 from 12.25 to 13.75, 12.5 last, 9% complete
  • UXYM/UXYU 40,400 from 1-05.75 to 1-06.25, 1-06.25 last, 3% complete
  • USM/USU 70,900 from 30.5 to 31.0, 30.75 last, 8% complete
  • WNM/WNU 97,900 from -2.25 to -0.25, -2.0 last, 9% complete

Reminder, Jun futures won't expire until next month: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.