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Mar'24/Jun'24 Roll Update: Only 50% Complete Ahead First Notice

US TSY FUTURES

Tsy quarterly futures roll from Mar'24 to Jun'24 continues to underpin volumes this morning: TYH4 over 1M. Expect heavy volumes to continue with roll efforts appr 50% complete before Jun'24 takes lead on February 29 "First Notice" date. Current roll details:

  • TUH/TUM 265,700 from -15.62 to -15.0, -15.25 last, 51% complete
  • FVH/FVM 694,900 from -13.50 to -13.0, -13.25 last, 52% complete
  • TYH/TYM 749,000 from -17.75 to -17.25, -17.5 last, 58% complete
  • UXYH/UXYM 103,200 from -6.0 to -5.25, -5.75 last, 46% complete
  • USH/USM 34,100 from -0.75 to -0.25, -0.25 last, 46% complete
  • WNH/WNM 44,900 from -1-30.5 to -1-28, -1-29.25 last, 50% 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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