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Quarterly Futures Roll Update

US TSY FUTURES

Volumes gradually increasing ahead August 31 first notice (Dec futures take lead quarterly position). Better selling in 5s and 10s into the second half. Current roll markets:

  • TUU/TUZ 1,000 from 5.25 to 5.38, 5.25 last
  • FVU/FVZ 12,200 from 14.75-15.25, 14.75 last
  • TYU/TYZ 18,000 from 18.75 to 19.75, 18.75 last
  • UXYU/UXYZ 1,100, 1-28.5 last
  • USU/USZ 600 from 1-17.25 to 1-17.5, 1-17.25 last
  • WNU/WNZ 4,200 from 1-23-1-23.5, 1-23.25 last
Note, September futures expire next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

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