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Late Session Sep'24-Dec'24 Roll Update

US TSY FUTURES

Surge in Tsy quarterly futures rolls from Sep'24 to Dec'24, percentage complete appr 15% across the curve next ahead next wk's "First Notice" date on August 30. Current roll details:

  • TUU4/TUZ4 appr 639,000 from -17.25 to -16.5, -16.75 last, 14% complete
  • FVU4/FVZ4 appr 1,438,300 from -18.5 to -17.75, -18.25 last, 15% complete
  • TYU4/TYZ4 appr 1,137,000 from -19.25 to -18.5, -18.75 last, 15% complete
  • UXYU4/UXYZ4 appr 298,500 from -10.25 to -10.0, -10.25 last, 10% complete
  • USU4/USZ4 274,100 from -6.5 to -5.75, -6.25 last, 12% complete
  • WNU4/WNZ4 appr 256,100 from -1-02 to -0-31, -1-01.5 last, 16% complete
  • Reminder, September futures won't expire until next month: 10s, 30s and Ultras on September 19, 2s and 5s on September 23. Sep Tsy options expire tomorrow.
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