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Sep/Dec Quarterly Futures Roll Update

US TSY FUTURES

Tsy quarterly futures roll volume from Sep'23 to Dec'23 gaining this morning. Only bonds near 25% complete before Dec'23 futures takes lead quarterly position, next Thursday morning. Current markets:

    • TUU/TUZ 167,500 from -13.75 to -13.25, -13.62 last, 14% complete
    • FVU/FVZ 216,200 from -16.5 to -15.75, -16.25 last, appr 21% complete
    • TYU/TYZ 194,500 from -15.0 to -14.0, -14.75 last, appr 19% complete
    • UXYU/UXYZ 22,700 from -18.5 to -18.0, -18.25 last, appr 17% complete
    • USU/USZ 20,400 from -5.25 to -4.75, -5.25 last, appr 24% complete
    • WNU/WNZ 50,100 from -119.75 to -118.5, -119.25 last, appr 26% 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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