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Sep/Dec Tsy Roll Update

US TSY FUTURES

Latest Tsy Sep/Dec roll volumes below - 5s and 10s lead in volume while 30Y Ultra-Bond leads in % complete - still a ways to go ahead First notice date (Dec takes lead) on Wednesday August 31. Current markets:

    • TUU/TUZ 32,100 from 3.88 to 4.38, 4.0 last, 15% complete
    • FVU/FVZ 135,500 from -2.25 to -1.75, -2.0 last, 20% complete
    • TYU/TYZ 135,700 from -3.5 to -3.0, -3.25 last, 20% complete
    • UXYU/UXYZ 20,400 from 20.0 to 20.75, 17% complete
    • USU/USZ 11,500 from 18.25 to 19.75, 19.5 last, 13% complete
    • WNU/WNZ 79,200 from 6.25 to 7.25, +6.5 last, 23% 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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