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Late Roll Volume Update

US TSY FUTURES

Sep/Dec rolling well underway now ahead Aug 31 "first notice" date when Dec takes lead quarterly. 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 56,800 -1.38 last; appr 4% complete
  • FVU/FVZ appr 191,000 -4.0 last; appr 6% complete
  • TYU/TYZ appr 82,400 3.75 last; appr 5% complete
  • UXYU/UXYZ 25,000, -2-06 last; appr 5% complete
  • USU/USZ 76,500, 1-20.75 last; appr 8% complete
  • WNU/WNZ 75,200, -3-16 last; appr 6% complete

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