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Late Session Sep'24-Dec'24 Roll Update: 5Y Leads Volume

US TSY FUTURES

Sep/Dec quarterly rolling continues to generate high volumes Monday, Sep'24 10Y just over 3M, lagging Sep'24 5Y volume just over 4M with 5s nearly 60% complete ahead Friday's first notice (Dec'24 becomes new lead quarterly). Current roll details:

  • TUU4/TUZ4 appr 1,609,000 from -17.38 to -16.75, -17.125 last, 49% complete
  • FVU4/FVZ4 appr 3,229,000 from -18.75 to -18.25, -18.50 last, 57% complete
  • TYU4/TYZ4 appr 1,902,000 from -19.25 to -19.00, -18.75 last, 44% complete
  • UXYU4/UXYZ4 appr 341,900 from -10.25 to -10.0, -10.25 last, 40% complete
  • USU4/USZ4 440,900 from -6.50 to -5.75, -6.50 last, 49% complete
  • WNU4/WNZ4 appr 659,700 from -31.75 to -29.25, -31.25 last, 53% complete
  • Reminder, September futures won't expire until next month: 10s, 30s and Ultras on September 19, 2s and 5s on September 23.

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