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Midday Jun/Sep Roll Update

US TSY FUTURES

Overall roll volumes accelerating in the short end, still a long way to go before Sep'23 futures take lead quarterly position on Wednesday, May 31 (First notice date). Current markets:

    • TUM/TUU 530,200 from -20.25 to -19.38, -20.0 last, 28% complete
    • FVM/FVU 571,300 from -19.25 to -19.00, -18.75 last, 27% complete
    • TYM/TYU 319,900 from -25.00 to -24.50, -24.50 last, 22% complete
    • UXYM/UXYU 275,700 from -31.50 to -30.25, -30.75 last, 20% complete
    • USM/USU 84,000 from -7.00 to -6.5, -6.75 last, 21% complete
    • WNM/WNU 178,600 from -15.00 to -14.25, -14.75 last, 23% complete
  • Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.

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