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Rolling, Rolling, Rolling

US TSY FUTURES

Early roll update, volumes and percentage completion will pick up in earnest ahead Friday, Feb 26 first notice date. 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 8,000 from 0.75 to 1.0, 0.75 last
  • FVH/FVM 4,300 from 10.0 to 10.75, 10.75 last
  • TYH/TYM 28,700 from 1-01.75 to 1-02.25, 1-02.25 last
  • UXYH/UXYM <500, 1-16.75 last
  • USH/USM <500 from 1-17.5 to 1-18.25, 1-17.75 last
  • WNH/WNM <500, 1-22 last

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