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*** Late session roll update: Dec....>

US TSY FUTURES
US TSY FUTURES: *** Late session roll update: Dec futures don't expire until
mid-late December (10s, 30s and Ultras on 12/19, 2s & 5s 12/31) -- Dec/Mar
rolling starting to occur ahead first notice (where March futures take lead
quarterly position) only three weeks away (Nov 29). Update:
* TUZ/TUH appr 54,600 from -5.75 to -4.5, -4.62 last; 7% complete
* FVZ/FVH appr 42,400 from -9.75 to -7.75, -8.25 last; 5% complete
* TYZ/TYH appr 38,100 from -0.75 to 2.0, 1.25 last; 5% complete
* UXYZ/UXYH N/A
* USZ/USH appr 4,000 from 26.25 to 27.75, 26.75 last; 1% complete
* WNZ/WNH appr 500 from 24.5 to 25.0, 24.75 last; 1% complete

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