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*** Midday update, Sep to Dec........>

US TSY FUTURES
US TSY FUTURES: *** Midday update, Sep to Dec futures roll volume update -- 2s
and 30s lagging big jumps across curve. First notice date: August 31. September
future's staggered expiration on September 19 for 10s, 30s and Ultras, and
September 28 for 2s and 5s. Latest volume:
* TUU/TUZ appr 50k from 3.5-3.75, 3.5 last; 16.2% complete coming into the
session
* FVU/FVZ appr 375k from 7.25-8.0, 7.5 last; 9.6% complete coming into the
session
* TYU/TYZ appr 171.6k from 3.5-4.25, 3.75 last; 6.2% complete coming into the
session
* USU/USZ appr 22.1, 24.0 last; 7.7% complete coming into the session
* WNU/WNZ appr 169k, 10.25 last; 12.6% complete coming into the session

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