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Mar'24/Jun'24 Roll Update: Almost Done

US TSY FUTURES

Tsy quarterly futures roll from Mar'24 to Jun'24 is wrapping up quickly, from appr 50% late Monday to over 90% complete right now. Jun'24 takes lead on February 29 "First Notice" date. Current roll details:

  • TUH/TUM 600,000 from -15.62 to -15.0, -15.25 last, 94% complete
  • FVH/FVM 1,349,100 from -13.25 to -12.75, -13.0 last, 92% complete
  • TYH/TYM 1,120,500 from -17.25 to -16.25, -17.0 last, 93% complete
  • UXYH/UXYM 843,100 from -7.25 to -4.75, -6.25 last, 94% complete
  • USH/USM 311,600 from -0.75 to 0.25, 0.0 last, 89% complete
  • WNH/WNM 255,100 from -1-30.5 to -1-26, -1-27.5 last, 96% complete
  • Reminder, March futures won't expire until next month: 10s, 30s and Ultras on March 19, and the 28th for 2s and 5s. March options expire today.
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