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Midday Jun/Sep Roll Update:

US TSY FUTURES

Heavy roll volumes logged, percentage complete 50% or over. Sep'23 futures take lead quarterly position on Wednesday, May 31 (First notice date). Current levels:

    • TUM/TUU 1,072,000 from -20.62 to -19.75, -20.25 last, 55% complete
    • FVM/FVU 1,692,400 from -19.75 to -19.0, -19.25 last, 50% complete
    • TYM/TYU 1,688,900 from -25.75 to -24.5, -24.75 last, 50% complete
    • UXYM/UXYU 449,100 from -100.0 to -30.25, -30.5 last, 51% complete
    • USM/USU 297,700 from -8.25 to -6.75, -8.0 last, 52% complete
    • WNM/WNU 608,900 from -15.25 to -13.25, -15.0 last, 60% 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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