Free Trial

Early Sep/Dec Tsy Roll Update, Accelerating

US TSY FUTURES

Tsy Sep/Dec roll volume update - 5s, 10s and 10Y Ultra approaching 50%, 30Y Ultra just over ahead next week's First notice date (Dec takes lead) Wed, Aug 31. Current markets:

    • TUU/TUZ 207,000 from 4.25 to 5.5, 5.0 last, 39% complete
    • FVU/FVZ 301,700 from -1.25 to -0.5, -1.0 last, 45% complete
    • TYU/TYZ 333,800 from -3.25 to -2.25, -2.75 last, 46% complete
    • UXYU/UXYZ 61,600 from 20.25 to 21.0, 20.75 last, 46% complete
    • USU/USZ 29,800 from 18.0 to 19.0, 18.75 last, 40% complete
    • WNU/WNZ 33,000 from 6.25 to 8.0, 7.75 last, 51% complete
  • Reminder, Sep futures won't expire until next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.