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Sep/Dec Quarterly Futures Roll Update

US TSY FUTURES

Update on heavy Tsy quarterly futures roll volume from Sep'23 to Dec'23 this morning. Dec'23 futures takes lead quarterly position from Sep'23 on August 31, next Thursday morning. Current markets:

    • TUU/TUZ 163,700 from -13.62 to -12.75, -13.5 last, 11% complete
    • FVU/FVZ 509,500 from -16.25 to -15.25, -15.75 last, appr 15% complete
    • TYU/TYZ 330,900 from -14.25 to -13.25, -13.75 last, appr 10% complete
    • UXYU/UXYZ 91,700 from -18.0 to -17.0, -17.75 last, appr 9% complete
    • USU/USZ 17,000 from -5.25 to -4.5, -5.0 last, appr 19% complete
    • WNU/WNZ 66,200 from -117.25 to -114.75, -116.75 last, appr 21% 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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