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Quarterly Futures Roll Nearly Complete

US TSY FUTURES

Last roll update -- nearly complete before Dec futures take lead quarterly position next Tuesday. Current lvls:

  • TUU/TUZ 332,600 from 5.0 to 5.5, 5.12 last; 89% complete
  • FVU/FVZ 465,900 from 15.0-15.75, 15.0 last; 95% complete
  • TYU/TYZ 1,125,700 from 18.75 to 19.75, 19.0 last; 90% complete
  • UXYU/UXYZ 181,700, 1-27.5 last; 91% complete
  • USU/USZ 122,700 from 1-17.5 to 1-18, 1-17.75 last; 92% complete
  • WNU/WNZ 96,700, 1-24 last; 89% complete
Note: September futures expire next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

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