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Sep/Dec Tsy Roll Update

US TSY FUTURES

Latest Tsy Sep/Dec roll volumes below. Expect surge in volumes ahead First notice date on Wednesday August 31. Current markets:

    • TUU/TUZ 20,200 from 2.75 to 3.5, 3.25 last, 3% complete
    • FVU/FVZ 37,700 from -2.75 to -2.25, -2.25 last, 5% complete
    • TYU/TYZ 15,600 from -3.75 to -3.25, -3.25 last, 5% complete
    • UXYU/UXYZ 1,400 from 20.75, 1% complete
    • USU/USZ 1,400 from 17.25 to 18.0, 17.5 last, 1% complete
    • WNU/WNZ 8,400 from 6.5 to 7.0, +6.75 last, 6% complete
  • Reminder, Sep futures won't expire until next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s.
  • JP Morgan analysts note the latest "roll cycle comes against the backdrop of a very foggy outlook for near term Fed policy – forward financing rates remain volatile and are likely biased higher, which is bearish for all calendar spreads.
    Liquidity remains poor, and overall open interest in the Treasury futures complex is near historic highs. Technical pressures will remain a force to contend with in several sectors, as in quarters past
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