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*** Late update Sep/Dec roll,........>

US TSY FUTURES
US TSY FUTURES: *** Late update Sep/Dec roll, inflating otherwise moderate
summer volumes (TYU>1M, FVU>600k). First notice date (Dec futures take lead) on
August 30. Sep future's staggered expiration on September 19 for 10s, 30s and
Ultras, and September 30 for 2s and 5s. Update:
* TUU/TUZ appr 336,800 from -8.38 to -7.75, -8.12 last; 22% complete
* FVU/FVZ appr 258,000 from -14.0 to -13.25, -13.5 last; 19% complete
* TYU/TYZ appr 210,800 from -20.75 to -19.75, -20.5 last; 13% complete
* USU/USZ appr 50,200 from 24.5 to 25.25, 24.75 last; 15% complete
* WNU/WNZ appr 78,600 from -1-0.25 to -30.25, -31.25 last; 18% complete

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