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Re-Extending Session Lows

US TSYS
  • Treasury futures are back to extending session lows in the last few minutes -- reversing course after revisiting early overnight highs: Sep'24 10Y tapped 113-30 high post data, is now trading 113-19 (-3.5).
  • Narrow range on deceivingly high session volume of 2.2M already. High volumes tied to Sep/Dec quarterly roll efforts before Dec takes lead this Friday. Current roll details:
    • TUU4/TUZ4 appr 932,000 from -17.38 to -16.75, -17.125 last, 43% complete
    • FVU4/FVZ4 appr 2,238,000 from -18.75 to -18.25, -18.25 last, 53% complete
    • TYU4/TYZ4 appr 1,493,000 from -19.25 to -18.75, -18.75 last, 42% complete
    • UXYU4/UXYZ4 appr 76,800 from -10.25 to -10.0, -10.00 last, 34% complete
    • USU4/USZ4 194,200 from -6.25 to -5.75, -6.25 last, 42% complete
    • WNU4/WNZ4 appr 388,600 from -31.50 to -29.25, -30.00 last, 47% complete
    • Reminder, September futures won't expire until next month: 10s, 30s and Ultras on September 19, 2s and 5s on September 23.

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