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*** Latest September December........>

US TSY FUTURES
US TSY FUTURES: *** Latest September December Treasury futures roll volume
below. Long way to go with only 1-2% Sep OI rolled so far. Sep quarterly
futures/options expiration at end of month. First notice date of August 31.
September future's staggered expiration on August 20 for 10s, 30s and Ultras,
then August 29 for 2s and 5s. Sep option expiration on August 25. Recent volume,
market range:
* FVU/FVZ appr 37k from 09.5 to 10.25, 9.75 last
* TYU/TYZ appr 14k from 10.25 to 11.0, 10.5 last
* TUU/TUZ no significant volume
* USU/USZ appr 300, 1-7.5 last
* WNU/WNZ appr 8.4k from 31.25 to 31.75, 31.5 last

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