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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 rather modest at the moment. Volume should will be accelerating as the "First Notice" date of August 31 approaches, date when the current lead quarterly passes the honor to the following quarterly. Current markets:

    • TUU/TUZ 13,000 from -13.75 to -13.5, -13.5 last, 3% complete
    • FVU/FVZ 5,800 from -15.75 to -15.25, -15.5 last, appr 6% complete
    • TYU/TYZ 25,000 from -14.75 to -14.0, -14.0 last, appr 3% complete
    • UXYU/UXYZ 1,600 from -17.75 to -17.25, -17.25 last, appr 1% complete
    • USU/USZ 4,000 from -5.75 to -5.0, -5.25 last, appr 9% complete
    • WNU/WNZ 3,000 from -115.75 to -113.5, -113.5 last, appr 10% 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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