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Sep/Dec Roll over 25% Complete

US TSY FUTURES

Early session Sep/Dec roll update: remains heavy across the curve and expected to continue with first notice next week Tuesday (Dec futures take lead quarterly position). Percentage complete over 25%, long end closer to a third. Current lvls:

  • TUU/TUZ 145,000 from 5.125 to 5.38, 5.12 last; 28% complete
  • FVU/FVZ 295,700 from 14.5-15.0, 15.0 last; 29% complete
  • TYU/TYZ 333,200 from 18.0 to 18.5, 18.25 last; 27% complete
  • UXYU/UXYZ 70,000, 1-28.25 last; 39% complete
  • USU/USZ 33,800 from 1-17.25 to 1-17.75, 1-17.75 last; 32% complete
  • WNU/WNZ 91,700, 1-23 last; 33% complete
Note: September futures expire next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

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