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Mar'24/Jun'24 Quarterly Futures Roll Update

US TSY FUTURES

The latest Tsy quarterly futures roll from Mar'24 to Jun'24 is underway. Still early in the process with light volumes ahead the "First Notice" date just over two weeks away on February 29. Current roll details:

    • TUH/TUM 12,100 from -17.62 to -15.75, -15.75 last, <2% complete
    • FVH/FVM 10,800 from -13.5 to -12.5, -12.5 last, <2% complete
    • TYH/TYM 19,400 from -19.0 to -16.75, -16.75 last, <1% complete
    • UXYH/UXYM 2,400 from -7.25 to -6.5, -6.5 last, <1% complete
    • USH/USM <900 from 1.25 to 1.75, 0.5 last, <1% complete
    • WNH/WNM <400 from -2-00 to -1-25.25, -1-26.75 last, <1% complete
    • Reminder, March futures won't expire until next month: 10s, 30s and Ultras on March 19, and the 28th for 2s and 5s.
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