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Sep/Dec Quarterly Futures Roll Update

US TSY FUTURES

Surge in Tsy quarterly futures roll volume from Sep'23 to Dec'23 today, 2s-10s over 1M each. Most at/over 25% complete before Dec'23 futures takes lead quarterly position, next Thursday morning. Current markets:

    • TUU/TUZ 1,070,500 from -14.12 to -13.25, -13.62 last, 20% complete
    • FVU/FVZ 1,362,000 from -16.5 to -15.75, -16.25 last, appr 28% complete
    • TYU/TYZ 1,279,800 from -15.0 to -14.0, -14.75 last, appr 26% complete
    • UXYU/UXYZ 400,300 from -19.0 to -18.0, -18.75 last, appr 24% complete
    • USU/USZ 379,800 from -6.75 to -4.75, -6.75 last, appr 31% complete
    • WNU/WNZ 547,800 from -120.5 to -118.5, -120.0 last, appr 35% 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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