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Midday Roll Update, 5s, 10s Outpacing Balance of Curve

US TSY FUTURES

Roll volume update, 5s and 10s outpacing balance of curve, but still below 10% complete. Sep'22 futures take lead quarterly position on May 31, First Notice date. Current markets:

  • TUM/TUU 57,900 from 11.62 to 12.0, 11.62 last, 6% complete
  • FVM/FVU 196,000 from 12.25 to 13.25, 12.5 last, 8% complete
  • TYM/TYU 146,000 from 12.25 to 13.75, 12.25 last, 9% complete
  • UXYM/UXYU 28,600 from 1-05.75 to 1-06.25, 1-06 last, 2% complete
  • USM/USU 44,900 from 30.5 to 31.0, 30.75 last, 7% complete
  • WNM/WNU 75,900 from -2.25 to -0.25, -1.75 last, 8% complete

Reminder, Jun futures won't expire until next month: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.

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Roll volume update, 5s and 10s outpacing balance of curve, but still below 10% complete. Sep'22 futures take lead quarterly position on May 31, First Notice date. Current markets:

  • TUM/TUU 57,900 from 11.62 to 12.0, 11.62 last, 6% complete
  • FVM/FVU 196,000 from 12.25 to 13.25, 12.5 last, 8% complete
  • TYM/TYU 146,000 from 12.25 to 13.75, 12.25 last, 9% complete
  • UXYM/UXYU 28,600 from 1-05.75 to 1-06.25, 1-06 last, 2% complete
  • USM/USU 44,900 from 30.5 to 31.0, 30.75 last, 7% complete
  • WNM/WNU 75,900 from -2.25 to -0.25, -1.75 last, 8% complete

Reminder, Jun futures won't expire until next month: 10s, 30s and Ultras on June 21, June 30 for 2s and 5s.