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Sep/Dec Quarterly Futures Roll Update

US TSY FUTURES

Latest Tsy quarterly futures roll volume from Sep'23 to Dec'23 below, over 38% complete before Dec'23 futures takes lead quarterly position next Thursday morning. Current markets:

    • TUU/TUZ 223,700 from -13.75 to -13.38, -13.62 last, 37% complete
    • FVU/FVZ 366,300 from -16.5 to -16.0, -16.25 last, appr 44% complete
    • TYU/TYZ 428,300 from -15.25 to -14.75, -15.0 last, appr 41% complete
    • UXYU/UXYZ 32,500 from -18.75 to -18.25, -18.75 last, appr 38% complete
    • USU/USZ 51,700 from -6.5 to -5.75, -6.25 last, appr 48% complete
    • WNU/WNZ 50,200 from -120.25 to -119.5, -120.0 last, appr 55% 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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