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Quarterly Futures Roll Update

US TSY FUTURES

Late session roll volume update: strong pick-up with 5s taking the lead, better selling in 5s, 10s and 30s, buying in Ultras. Current roll markets:

  • TUU/TUZ 103,724 from 5.25 to 5.5, 5.38 last
  • FVU/FVZ 229,478 from 14.5-15.25, 14.5 last
  • TYU/TYZ 166,388 from 18.25 to 19.25, 18.25 last
  • UXYU/UXYZ 114,274, 1-28 last
  • USU/USZ 87,200 from 1-17.25 to 1-17.75, 1-17.25 last
  • WNU/WNZ 32,053, 1-23.25 last
Note: August 31 first notice (Dec futures take lead quarterly position). September futures expire next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

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