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Mar/Jun Tsy Roll Underway

US TSY FUTURES

Tsy quarterly futures roll from Mar'23 to Jun'23 expiry is underway, light volumes as still early in the process. First notice date is Tuesday, February 28. Current markets:

    • TUH/TUM 29,300 from -9.88 to -8.5, -8.88 last, appr 3% complete
    • FVH/FVM 46,800 from -15.0 to -14.25, -14.75 last, appr 2% complete
    • TYH/TYM 14,800 from -17.25 to -16.75, -17.0 last, appr 2% complete
    • UXYH/UXYM 2,100 from 1.0 to 1.5, 1.25 last, appr 1% complete
    • USH/USM 7,500 from -1-10 to -104, -1-05 last, 2% complete
    • WNH/WNM 10,200 from -19.25 to -18.75, -19.25 last, 4% complete
  • Reminder, March futures won't expire until next month: 10s, 30s and Ultras on March 20, March 30 for 2s and 5s.
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