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Sep/Dec Futures Roll Roundup - Winding Down

US TSY FUTURES

Roll volumes winding down ahead Wed's First Notice when Dec futures take lead quarterly position (Sep futures won't expire until next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s). Current markets:

    • TUU/TUZ 50,900 from 2.75 to 4.12, 3.12 last, 92% complete
    • FVU/FVZ 138,000 from -1.0 to -0.25, -0.5 last, 88% complete
    • TYU/TYZ 153,200 from -2.75 to -0.25, -1.75 last, 88% complete
    • UXYU/UXYZ 26,600 from 20.0 to 21.25, 20.75 last, 93% complete
    • USU/USZ 34,700 from 16.75 to 18.0, 17.0 last, 83% complete
    • WNU/WNZ 12,600 from 6.75 to 7.5, 6.75 last, 87% complete

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