Free Trial

US Roll update

US TSY FUTURES
  • Above average volume in EGBs and Rate futures (Euribor), on the back of the PMIs.
  • US Treasuries are seeing similar elevated volumes, but more Spread related on the other side of the Pond.
  • Recall Yesterday, saw a decent jump in US rolls with decent clip size in 5yr FVA, 10s and 2s, as investors took advantage of the quieter session.

ROLL PACE:

  • Ultra: 7%.
  • TBond: 9%.
  • Ultra 10: 8%.
  • TYA: 13%.
  • FVA: 11%.
  • TUA: 12%.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.