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Midday Sep/Dec Roll Update, Well Over 75% Complete

US TSY FUTURES

Decent overall volumes as Tsy Sep/Dec roll climbs over 75% completion across the curve. First notice date (Dec takes lead) Wed, Aug 31. Current markets:

    • TUU/TUZ 401,800 from 1.62 to 3.5, 2.38 last, 88% complete
    • FVU/FVZ 803,600 from -1.75 to -0.5, -1.0 last, 83% complete
    • TYU/TYZ 758,200 from -3.5 to -2.0, -2.75 last, 84% complete
    • UXYU/UXYZ 125,200 from 20.25 to 21.25, 20.75 last, 89% complete
    • USU/USZ 168,000 from 17.5 to 18.5, 17.75 last, 77% complete
    • WNU/WNZ 131,600 from 6.75 to 7.75, 6.75 last, 83% complete
  • Reminder, Sep futures won't expire until next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

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