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Roll Nears 75% Completion

US TSY FUTURES

Early March/June volumes update. June takes lead Friday, Feb 26. 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 180,000 from 0.50 to 0.75, 0.62 last; 69% complete
  • FVH/FVM 223,000 from 11.5 to 12.0, 11.75 last; 66% complete
  • TYH/TYM 350,000 from 1-02.25 to 1-03.25, 1-02.75 last; 69% complete
  • UXYH/UXYM 38,000, from 1-18.25 to 1-18.75, 1-18.5 last; 66% complete
  • USH/USM 48,000 from 1-17 to 1-18, 1-17.75 last; 70% complete
  • WNH/WNM 33,000, 1-22 to 1-22.75, 1-22.25 last; 67% complete

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