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Late Mar/Jun Tsy Roll Update

US TSY FUTURES

Decent second half volumes as Tsy quarterly futures roll from Mar'23 to Jun'23 continues. First notice date of Tuesday, February 28. Current markets:

    • TUH/TUM 89,000 from -10.00 to -8.25, -10.0 last, appr 7% complete
    • FVH/FVM 115,300 from -14.75 to -14.0, -14.5 last, appr 8% complete
    • TYH/TYM 78,500 from -16.00 to -15.25, -16.00 last, appr 6% complete
    • UXYH/UXYM 19,600 from 1.25 to 1.75, 1.75 last, appr 2% complete
    • USH/USM 16,600 from -1-02.75 to -30, -1-02.25 last, 4% complete
    • WNH/WNM under 18,800 from -20.0 to -19.25, -19.5 last, 8% complete
  • Reminder, March futures won't expire until next month: 10s, 30s and Ultras on March 22, 2s and 5s on March 31.
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