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Late June/September Roll Update

US TSY FUTURES

Late roll update, 330k total between 5s and 10s. Pace will accelerate ahead the May 28 first notice date. Note, June Tsy options expire this Friday, while quarterly futures expire mid- to late June: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s. Current roll markets listed below:

  • TUM/TUU 68,700 from 2.75-3.0, 2.75 last
  • FVM/FVU 183,300 from 19.0-19.5, 19.0 last
  • TYM/TYU 150,200 from 28.25 to 29.0, 28.25 last
  • UXYM/UXYU 80,300 from 1-19 to 1-19.75, 1-19.25 last
  • USM/USU 52,000 from 1-18.5 to 1-19, 1-18.75 last
  • WNM/WNU 53,500 from 1-20.5-1-21, 1-20.5 last
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