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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. Light volumes still ahead the "First Notice" date just over two weeks away on February 29. Current roll details:

  • TUH4/TUM4 4,700 from -16.12 to -15.38, -16 last, <2% complete
  • FVH4/FVM4 3,500 from -12.75 to -12.5, -12.75 last, <2% complete
  • TYH4/TYM4 13,900 from -17.25 to -16.5, -17.0 last, <1% complete
  • UXYH4/UXYM4 1,100 from -6.75 to -6.5, -6.5 last, <1% complete
  • USH4/USM4 <300 from -0.75 to 1.0, 0.25 last, <1% complete
  • WNH4/WNM4 <700 from -1-25.75 to -1-24.5, -1-25.25 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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