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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, roll approaching 75% complete before Dec'23 futures takes lead quarterly position this Thursday morning. Current markets:

    • TUU/TUZ 173,000 from -13.62 to -13.25, -13.5 last, 65% complete
    • FVU/FVZ 244,000 from -16.75 to -16.25, -16.25 last, appr 66% complete
    • TYU/TYZ 190,000 from -15.75 to -15.25, -15.75 last, appr 65% complete
    • UXYU/UXYZ 51,100 from -20.25 to -19.0, -20.25 last, appr 60% complete
    • USU/USZ 45,100 from -6.75 to -5.75, -6.5 last, appr 66% complete
    • WNU/WNZ 33,600 from -122.0 to -120.25, -121.5 last, appr 72% 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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