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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 gaining 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 24,800 from -13.5 to -12.88, -13.12 last, 5% complete
    • FVU/FVZ 82,800 from -15.5 to -14.75, -15.25 last, appr 9% complete
    • TYU/TYZ 44,200 from -14.0 to -13.25, -13.5 last, appr 7% complete
    • UXYU/UXYZ 18,800 from -17.75 to -16.75, -16.75 last, appr 4% complete
    • USU/USZ 15,400 from -5.0 to -4.25, -4.75 last, appr 14% complete
    • WNU/WNZ 14,000 from -115.0 to -113.5, -114.25 last, appr 15% 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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