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Roll Volume Surges

US TSY FUTURES

Midday Sep/Dec roll update: volume surge across the curve, 10s leading. Percentage complete nearing 25% with first notice a week away (Dec futures take lead quarterly position). Current roll markets:

  • TUU/TUZ 264,800 from 5.125 to 5.5, 5.12 last; 20% complete
  • FVU/FVZ 279,600 from 14.5-15.25, 14.75 last; 17% complete
  • TYU/TYZ 390,000 from 18.0 to 18.5, 18.0 last; 16% complete
  • UXYU/UXYZ 118,200, 1-28.25 last; 24% complete
  • USU/USZ 123,100 from 1-17.25 to 1-17.75, 1-17.5 last; 19% complete
  • WNU/WNZ 63,800, 1-23 last; 19% complete
Note: September futures expire next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

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