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Sep/Dec Quarterly Futures Roll Update

US TSY FUTURES

The latest Tsy quarterly futures roll volume from Sep'23 to Dec'23 remains modest. "First Notice" date, when the current lead quarterly passes the honor to the following quarterly, is only two weeks away on August 31. Current markets:

    • TUU/TUZ 17,500 from -14.12 to -13.62, -14.0 last, 3% complete
    • FVU/FVZ 57,900 from -16.25 to -15.5, -15.75 last, appr 6% complete
    • TYU/TYZ 15,200 from -14.75 to -14.25, -14.75 last, appr 3% complete
    • UXYU/UXYZ 2,400 from -18.5 to -17.75, -18.0 last, appr 1% complete
    • USU/USZ 31,200 from -6.0 to -5.25, -5.5 last, appr 8% complete
    • WNU/WNZ 21,900 from -117.25 to -115.25, -115.75 last, appr 9% complete
  • Reminder, September futures won't expire until next month: 10s, 30s and Ultras on September 20, September 29 for 2s and 5s.
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