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Massive 5Y Roll Volume

US TSY FUTURES

Midday roll update, surge in Mar/Jun 5Y making up half the volume in FVH. First notice: 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

  • TUH/TUM 37,300 from 0.88 to 1.0, 0.88 last
  • FVH/FVM 644,800 from 11.25 to 12.0, 12.0 last
  • TYH/TYM 253,400 from 1-02.25 to 1-03, 1-02.75 last
  • UXYH/UXYM 128,600, from 1-17.25 to 1-18, 1-17.5 last
  • USH/USM 42,900 from 1-17 to 1-17.75, 1-17.25 last
  • WNH/WNM 81,600, 1-22 to 1-23.75, 1-22.5 last

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