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Quarterly Futures Roll Update

US TSY FUTURES

Late session Sep/Dec roll update: heavy across the curve and expected to remain that way as percentage complete near s25% with first notice a week away (Dec futures take lead quarterly position). Current roll markets:

  • TUU/TUZ 325,300 from 5.125 to 5.5, 5.12 last; 24% complete
  • FVU/FVZ 452,700 from 14.5-15.25, 14.5 last; 21% complete
  • TYU/TYZ 551,500 from 17.75 to 18.5, 18.0 last; 17% complete
  • UXYU/UXYZ 183,100, 1-28 last; 27% complete
  • USU/USZ 145,300 from 1-17.25 to 1-17.75, 1-17.5 last; 21% complete
  • WNU/WNZ 118,800, 1-23 last; 21% complete
Note: September futures expire next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s

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