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Quarterly Futures Roll Update

US TSY FUTURES

Midday roll update: Surge in 30Y roll while 5s and 30Y Ultra continue to outpace. August 31 first notice (Dec futures take lead quarterly position). Current roll markets:

  • TUU/TUZ 9,800 from 5.25 to 5.38, 5.38 last
  • FVU/FVZ 47,900 from 14.75-15.25, 15.0 last
  • TYU/TYZ 23,700 from 18.25 to 18.75, 18.75 last
  • UXYU/UXYZ 40,500, 1-28.5 last
  • USU/USZ 4,000 from 1-17.25 to 1-17.75, 1-17.5 last
  • WNU/WNZ 44,000, 1-23 last
Note, September futures expire next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

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