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Mar'24/Jun'24 Quarterly Futures Roll Update

US TSY FUTURES

Tsy quarterly futures Mar'24 to Jun'24 roll update. 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 10,100 from -16.62 to -16.12, -16.25 last, <2% complete
  • FVH/FVM 22,700 from -13.25 to -12.75, -13.0 last, <2% complete
  • TYH/TYM 27,400 from -18.0 to -17.0, -17.5 last, <3% complete
  • UXYH/UXYM 1,500 from -6.75 to -6.25, -6.75 last, <1% complete
  • USH/USM 3,300 from -0.75 to 0.25, 0.0 last, <1% complete
  • WNH/WNM 7,700 from -1-29 to -1-26.25, -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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