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Sep/Dec Quarterly Futures Roll Update

US TSY FUTURES

Surge of Tsy quarterly futures roll volume from Sep'23 to Dec'23 this morning 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 38,200 from -13.5 to -12.75, -13.12 last, 9% complete
    • FVU/FVZ 122,700 from -16.0 to -15.25, -15.5 last, appr 13% complete
    • TYU/TYZ 99,300 from -14.25 to -13.25, -14.0 last, appr 9% complete
    • UXYU/UXYZ 19,300 from -18.0 to -17.0, -17.75 last, appr 7% complete
    • USU/USZ 11,900 from -5.25 to -4.5, -5.25 last, appr 18% complete
    • WNU/WNZ 17,000 from -116.5 to -114.75, -115.25 last, appr 19% 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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