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Mar'23/Jun'23 Roll Update

US TSY FUTURES

Mar'23/Jun'23 futures roll percentage complete mostly over 80% ahead next Tuesday's First notice date when June takes lead. Current markets:

    • TUH/TUM 87,500 from -9.38 to -8.25, -8.38 last, appr 83% complete
    • FVH/FVM 134,800 from -14.25 to -13.5, -13.5 last, appr 81% complete
    • TYH/TYM 218,000 from -16.75 to -16.25, -16.25 last, appr 82% complete
    • UXYH/UXYM 40,000 from 1.0 to 1.25, 1.0 last, appr 76% complete
    • USH/USM 30,100 from -1-07.25 to -1-04.5, -1-04.5 last, 78% complete
    • WNH/WNM 27,000 from -19.5 to -18.5, -19.0 last, 84% complete
  • Reminder, March futures won't expire until next month: 10s, 30s and Ultras on March 22, 2s and 5s on March 31.

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