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Sep'24-Dec'24 Roll Update

US TSY FUTURES

Tsy quarterly futures roll from Sep'24 to Dec'24 rather muted at the moment. Percentage complete approximately 6% across the curve - a lot to go before next week's "First Notice" date on August 30. Current roll details:

  • TUU4/TUZ4 appr 15,900 from -17.0 to -16.62, -16.88 last, 5% complete
  • FVU4/FVZ4 appr 4,600 from -18.0 to -17.5, -17.75 last, 5% complete
  • TYU4/TYZ4 appr 31,800 from -18.75 to -18.5, -18.75 last, 6% complete
  • UXYU4/UXYZ4 appr 1,200 from -10.5 to -10.25, -10.5 last, 5% complete
  • USU4/USZ4 3,300 from -6.25 to -6.0, -6.25 last, 6% complete
  • WNU4/WNZ4 appr 1,200 from -1-03.25 to -1-02.5, -1-03 last, 8%
  • Reminder, September futures won't expire until next month: 10s, 30s and Ultras on September 19, 2s and 5s on September 23. Sep options expire this Friday.
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