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Early March Futures Roll Update

US TSY FUTURES

Heavy volumes as March/June rolling surges, 10Y leads w/ >395k, 5Y next up with >300k. Jun'22 futures take lead quarterly position on February 28, First Notice dat. Current roll markets:

  • TUH/TUM 139,000 from 10.62 to 11.38, 11.25 last, 12% complete
  • FVH/FVM 309,100 from 10.00 to 11.25, 11.0 last, 15% complete
  • TYH/TYM 397,900 from 0.75 to 2.25, 2.25 last, 15% complete
  • UXYH/UXYM 35,400 from 26.75 to 27.5, 27.25 last, 10% complete
  • USH/USM 23,200 from -1-23 to 1-18.5, 1-18.5 last, 7% complete
  • WNH/WNM 59,400 from -1-09.75 to -1-05.5, -1-09 last, 13% complete

* Note, March futures won't expire until next month: 10s, 30s and Ultras on March 22, March 31 for 2s and 5s.

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