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Late Session Sep'24-Dec'24 Roll Update

US TSY FUTURES

Volume in Tsy quarterly futures roll from Sep'24 to Dec'24 gaining. Percentage complete nearing 10% across the curve ahead the "First Notice" date on August 30. Current roll details:

  • TUU4/TUZ4 appr 261,800 from -17.38 to -16.62, -17.12 last, 8% complete
  • FVU4/FVZ4 appr 516,500 from -18.75 to -18.0, -18.25 last, 9% complete
  • TYU4/TYZ4 appr 386,900 from -19.25 to -18.5, -19.25 last, 9% complete
  • UXYU4/UXYZ4 appr 76,400 from -10.5 to -10.25, -10.25 last, 7% complete
  • USU4/USZ4 40,600 from -6.5 to -6.0, -6.25 last, 8% complete
  • WNU4/WNZ4 appr 81,000 from -1-03.75 to -30.75, -1-00 last, 9% complete
  • Reminder, September futures won't expire until next month: 10s, 30s and Ultras on September 19, 2s and 5s on September 23. Sep options expire this Friday.

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