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Late Roll Update: Heavy


Sep futures cede lead quarterly to Dec futures on Aug 31 "first notice" date. Sep futures won't expire until mid-late September: 10s, 30s and Ultras on 9/21; 2s & 5s 9/30. Percentage completion:

  • TUU/TUZ appr 815,600 -1.25 last; appr 39% complete
  • FVU/FVZ appr 1,438,700 -4.0 last; appr 40% complete
  • TYU/TYZ appr 1,524,100 4.50 last; appr 41% complete
  • UXYU/UXYZ 272,200, -2-04.25 last; appr 35% complete
  • USU/USZ 414,100, 1-21 last; appr 43% complete
  • WNU/WNZ 296,400, -3-14.75 last; appr 40% complete

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