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Quarterly Futures Roll Nearly 75% Complete

US TSY FUTURES

Midday roll update: nearly 75% complete across much of the curve, 10s and 30s lagging a little. Dec futures take lead quarterly position next Tuesday. Current lvls:

  • TUU/TUZ 803,500 from 5.12 to 5.5, 5.25 last; 70% complete
  • FVU/FVZ 1,253,800 from 15.0-16.0, 15.25 last; 73% complete
  • TYU/TYZ 1,144,600 from 18.25 to 19.0, 18.75 last; 66% complete
  • UXYU/UXYZ 257,500, 1-28.5 last; 74% complete
  • USU/USZ 271,300 from 1-17.25 to 1-18, 1-17.5 last; 69% complete
  • WNU/WNZ 303,300, 1-23.75 last; 72% complete
Note: September futures expire next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

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