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Late Roll Update: Nearly Done

US TSY FUTURES

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 429,300 -1.12 last; appr 84% complete
  • FVU/FVZ appr 768,000 -3.5 last; appr 88% complete
  • TYU/TYZ appr 926,600 4.75 last; appr 89% complete
  • UXYU/UXYZ 203,500, -2-02.5 last; appr 79% complete
  • USU/USZ 190,200, 1-21.25 last; appr 88% complete
  • WNU/WNZ 181,400, -3-02.25 last; appr 81% complete

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