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Roll Update, Heavy 5s, 10s

US TSY FUTURES

March/June volumes update. First notice: 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 266,600 from 1.0 to 1.25, 1.0 last; 19% complete
  • FVH/FVM 653,500 from 11.75 to 12.75, 12.0 last; 26% complete
  • TYH/TYM 555,000 from 1-03 to 1-03.5, 1-03.25 last; 20% complete
  • UXYH/UXYM 145,500, from 1-17.5 to 1-18, 1-17.75 last; 24% complete
  • USH/USM 149,500 from 1-17 to 1-18.5, 1-17.75 last; 19% complete
  • WNH/WNM 248,700, 1-22 to 1-23, 1-22.5 last; 24% complete

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