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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 provided below. Volume 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 83,200 from -13.75 to -13.12, -13.5 last, 5% complete
    • FVU/FVZ 101,000 from -15.75 to -15.0, -15.25 last, appr 8% complete
    • TYU/TYZ 135,500 from -14.75 to -13.25, -14.0 last, appr 4% complete
    • UXYU/UXYZ 30,700 from -17.75 to -16.75, -17.25 last, appr 2% complete
    • USU/USZ 52,000 from -5.75 to -4.0, -4.75 last, appr 10% complete
    • WNU/WNZ 56,300 from -115.75 to -113.25, -114.25 last, appr 11% 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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