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Rolling Continues Apace

US TSY FUTURES

Still a long way to go before the Aug 31 "first notice" date when Dec takes lead quarterly. Sep futures won't expire until mid-late September: 10s, 30s and Ultras on 9/21; 2s & 5s 9/30. Percentage completion:

  • TUU/TUZ appr 14,800 from -1.38 to -1.25, -1.38 last; appr 1% complete
  • FVU/FVZ appr 18,900 from -4.25 to -3.25, -4.0 last; appr 4% complete
  • TYU/TYZ appr 22,600 from 4.0 to 4.5, 4.0 last; appr 3% complete
  • UXYU/UXYZ 2,400, -2-06 last; <1% complete
  • USU/USZ <200, 1-20.5 last; appr 4% complete
  • WNU/WNZ 10,700, -3-13.75 last; appr 2% complete

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