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Midday Roll Update: Best Volumes Yet

US TSY FUTURES

Dec/Mar roll volumes surge ahead Nov 30 "first notice" date approaches, position holders contend with shortened Thanksgiving holiday workweek next week. Dec futures won't expire until mid-late December: 10s, 30s and Ultras on 12/21; 2s & 5s 12/31.

  • TUZ/TUH appr 162,900 0.125 last; 13% complete
  • FVZ/FVH appr 289,500 -10.0 last; 16% complete
  • TYZ/TYH appr 325,600 12.75 last; 17% complete
  • UXYZ/UXYH under 127,900, 18.5 last; 18% complete
  • USZ/USH 100,000, -1-11.25 last; 15% complete
  • WNZ/WNH 85,200, 1-20.75 last; 22% complete

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