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Sep/Dec Roll Picks Up

US TSY FUTURES

Volumes picking up, still a long way to go before the Aug 31 "first notice" date when Dec takes lead quarterly. Sep futures won't expire until mid-late September: 10s, 30s and Ultras on 9/21; 2s & 5s 9/30. Percentage completion:

  • TUU/TUZ appr 5,900 from -1.12 to -1.00, -1.12 last; appr 1% complete
  • FVU/FVZ appr 26,800 from -4.0 to -3.5, -4.0 last; appr 4% complete
  • TYU/TYZ appr 30,500 from 3.25 to 4.0, 3.75 last; appr 3% complete
  • UXYU/UXYZ 1,600, -2-05.5 last; <1% complete
  • USU/USZ <500, 1-20.75 last; appr 3% complete
  • WNU/WNZ 1,800, -3-14.5 last; <1% complete

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