Free Trial

Massive 5Y Roll Volume


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

To read the full story



MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.