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Roll Gaining Momentum


Early March/June volume update: Bonds still lagging 2s-10s ahead this Friday's first notice date. March futures expire in mid-late March: 10s, 30s and Ultras on March 22, 2s and 5s on March 31. Current roll markets

  • TUH/TUM 166,133 from 1.0 to 1.25, 1.12 last; 16% complete
  • FVH/FVM 153,5 from 12.0 to 12.75, 12.25 last; 21% complete
  • TYH/TYM 216,600 from 1-03 to 1-03.5, 1-03.25 last; 17% complete
  • UXYH/UXYM 21,100, from 1-17.5 to 1-18, 1-17.75 last; 18% complete
  • USH/USM 30,200 from 1-17 to 1-18.5, 1-18 last; 14% complete
  • WNH/WNM 17,800, 1-22.5 to 1-23, 1-22.5 last; 16% complete

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