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March/June Roll Underway

US TSY FUTURES

Early roll update, volumes and percentage completion still quite low ahead first notice date -- just 2 weeks away on Friday, Feb 26. March futures expire in mid-late March: 10s, 30s and Ultras on March 22, 2s and 5s on March 31. Current roll markets listed below:

  • TUH/TUM 0.75 last
  • FVH/FVM 9.25 last
  • TYH/TYM 2,600 from 1-01.25 to 1-01.75, 1-01.5 last
  • UXYH/UXYM from 1-15.5 to 1-16.25, 1-15.5 last
  • USH/USM from 1-17.75 to 1-18, 1-18 last
  • WNH/WNM 1-21.75 last

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