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Midday Sep/Dec Tsy Roll Update

US TSY FUTURES

Surge in Tsy Sep/Dec roll volume update - pushes entire curve over 50%, 10Y Ultra and 30Y Ultras over 60%. First notice date (Dec takes lead) Wed, Aug 31. Current markets:

    • TUU/TUZ 806,500 from 3.75 to 5.5, 3.88 last, 51% complete
    • FVU/FVZ 1,218,700 from -1.5 to -0.5, -1.0 last, 57% complete
    • TYU/TYZ 1,175,700 from -3.25 to -2.25, -2.75 last, 59% complete
    • UXYU/UXYZ 422,300 from 20.0 to 21.0, 20.25 last, 62% complete
    • USU/USZ 222,500 from 18.0 to 19.0, 18.25 last, 50% complete
    • WNU/WNZ 327,300 from 6.25 to 8.0, 6.75 last, 65% 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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