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Roll Update

US TSY FUTURES

Volumes and percentage completion picking up ahead Friday, Feb 26 first notice date. March futures expire in mid-late March: 10s, 30s and Ultras on March 22, 2s and 5s on March 31. Current roll markets

  • TUH/TUM 14,900 from 0.75 to 1.0, 1.0 last
  • FVH/FVM 40,900 from 10.0 to 11.25, 11.0 last
  • TYH/TYM 70,200 from 1-01.75 to 1-02.75, 1-02.75 last
  • UXYH/UXYM 12,700, 1-17 last
  • USH/USM <1,000 from 1-17.5 to 1-18.25, 1-18 last
  • WNH/WNM 7,300, 1-22 last

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