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Mar'24/Jun'24 Roll Update

US TSY FUTURES

Tsy quarterly futures roll volume from Mar'24 to Jun'24 remains heavy ahead of the February 29 "First Notice" date. Current roll details:

  • TUH/TUM 861,000 from -15.62 to -14.88, -15.0 last, 20% complete
  • FVH/FVM 1,286,000 from -12.75 to -12.25, -12.5 last, 19% complete
  • TYH/TYM 2,012,400 from -17.0 to -16.25, -16.5 last, 22% complete
  • UXYH/UXYM 493,800 from -6.25 to -5.25, -5.75 last, 15% complete
  • USH/USM 296,700 from -0.5 to 2.0, -0.5 last, 14% complete
  • WNH/WNM 305,200 from -1-25.75 to -1-22.75, -1-25.25 last, 13% 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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