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March Futures Roll Update, Heavy Volumes

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 778,000 from 10.62 to 11.5, 11.0 last, 19% complete
  • FVH/FVM 1,589,000 from 10.00 to 11.25, 10.75 last, 21% complete
  • TYH/TYM 1,701,900 from 0.75 to 2.75, 2.0 last, 24% complete
  • UXYH/UXYM 396,900 from 26.75 to 28.0, 27.25 last, 15% complete
  • USH/USM 307,700 from -1-23.75 to 1-17.75, 1-18.5 last, 11% complete
  • WNH/WNM 349,200 from -1-10.5 to -1-05.5, -1-10 last, 21% 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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