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Quarterly Roll Driving Midday Volumes

US TSY FUTURES

Tsy quarterly futures roll volumes remain heavy, 5s leading. First notice date of Tuesday, February 28. Current markets:

    • TUH/TUM 252,700 from -9.62 to -8.5, -9.12 last, appr 11% complete
    • FVH/FVM 523,100 from -14.75 to -13.5, -14.0 last, appr 12% complete
    • TYH/TYM 359,300 from -17.00 to -15.25, -15.75 last, appr 8% complete
    • UXYH/UXYM 96,300 from 1.25 to 1.75, 1.75 last, appr 5% complete
    • USH/USM 70,200 from -1-02.75 to -1-00.25, -1-01.75 last, 6% complete
    • WNH/WNM 148,000 from -19.75 to -18.5, -19.5 last, 10% complete
  • Reminder, March futures won't expire until next month: 10s, 30s and Ultras on March 22, 2s and 5s on March 31.
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