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Roll Update, % Complete Climbs

US TSY FUTURES

Expect further heavy March/June roll volume today. While Monday saw heavy flow, but percentage complete still below 50% with June taking lead this Friday. 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 149,500 from 0.88 to 1.12, 1.0 last; 34% complete
  • FVH/FVM 184,200 from 11.75 to 12.25, 12.0 last; 36% complete
  • TYH/TYM 183,200 from 1-03 to 1-03.25, 1-03.25 last; 32% complete
  • UXYH/UXYM 33,000, from 1-17 to 1-17.75, 1-17.75 last; 37% complete
  • USH/USM 30,500 from 1-17.5 to 1-18, 1-17.75 last; 35% complete
  • WNH/WNM 16,900, 1-22.25 to 1-22.75, 1-22.5 last; 41% complete
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