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Quarterly Futures Roll Near Half Complete

US TSY FUTURES

Late session roll update: impressive surge in efforts to roll positions from Sep out to Dec ahead first notice next week Tuesday (Dec futures take lead quarterly position). Percentage complete at or near 50% across much of the curve, 2s and 10s lagging despite the impressive volume. Current lvls:

  • TUU/TUZ 732,000 from 5.0 to 5.38, 5.12 last; 46% complete
  • FVU/FVZ 1,803,000 from 14.5-15.25, 14.75 last; 50% complete
  • TYU/TYZ 1,392,000 from 18.0 to 18.5, 18.25 last; 42% complete
  • UXYU/UXYZ 494,900, 1-28.5 last; 54% complete
  • USU/USZ 339,600 from 1-17.25 to 1-17.75, 1-17.25 last; 50% complete
  • WNU/WNZ 386,600, 1-22.75 last; 48% complete
Note: September futures expire next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

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