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March Futures Roll Update, Heavy Volumes Resume

US TSY FUTURES

Heavy quarterly futures volumes as March/June rolling continues, 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 229,000 from 11.0 to 11.88, 11.62 last, 37% complete
  • FVH/FVM 408,000 from 10.25 to 11.25, 11.0 last, 42% complete
  • TYH/TYM 332,000 from 1.5 to 2.5, 2.5 last, 43% complete
  • UXYH/UXYM 77,700 from 27.25 to 28.0, 28.0 last, 36% complete
  • USH/USM 46,000 from -1-22.5 to 1-19.25, 1-21 last, 30% complete
  • WNH/WNM 41,200 from -1-09.5 to -1-07.75, -1-08.75 last, 33% 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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