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*** Late Sep/Dec roll volume.........>

US TSY FUTURES
US TSY FUTURES: *** Late Sep/Dec roll volume update, leads to heavy quarterly
levels (TYU>2.8M; FVZ>1.8M). September option expiration also adding to some
hedging volume. First notice date (Dec futures take lead) on August 30. Sep
future's staggered expiration on September 19 for 10s, 30s and Ultras, and
September 30 for 2s and 5s. Update:
* TUU/TUZ appr 645,300 from -8.50 to -7.5, -8.25 last; 32% complete
* FVU/FVZ appr 734,300 from -14.5 to -13.0, -14.25 last; 26% complete
* TYU/TYZ appr 688,000 from -21.5 to -20.0, -21.25 last; 18% complete
* USU/USZ appr 115,600 from 24.5 to 25.5, 25.0 last; 20% complete
* WNU/WNZ appr 160,800 from -1-0 to -28.75, -31.75 last; 28% complete

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