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Sep/Dec Roll Update, Near 75% Complete

US TSY FUTURES

Percentage complete for Tsy Sep/Dec roll approximately 75% complete across the curve. First notice date (Dec takes lead) Wed, Aug 31. Current markets:

    • TUU/TUZ 111,600 from 2.5 to 3.5, 3.0 last, 74% complete
    • FVU/FVZ 271,300 from -1.75 to -0.5, -0.75 last, 71% complete
    • TYU/TYZ 295,700 from -3.5 to -2.0, -2.5 last, 74% complete
    • UXYU/UXYZ 20,800 from 20.25 to 20.75, 20.5 last, 79% complete
    • USU/USZ 57,900 from 17.75 to 18.5, 17.75 last, 66% complete
    • WNU/WNZ 34,400 from 6.75 to 7.75, 7.5 last, 76% complete
  • Reminder, Sep futures won't expire until next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.

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