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US TSY FUTURES: Treasury Quarterly Futures Roll Update

US TSY FUTURES
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Tsy quarterly futures roll from Dec'24 to Mar'24 update below. Roll volumes remain light with percentage complete mostly 2-3% across the curve (30Y leads at nearly 10% complete) ahead the "First Notice" date on November 29. Current roll details:

  • TUZ4/TUH5 appr 4,400 from -6.88 to -6.5, -6.62 last; 2% complete
  • FVZ4/FVH5 appr 20,900 from -6.0 to -5.5, -5.5 last; 3% complete
  • TYZ4/TYH5 appr 15,300 from -5.0 to -4.75, -4.75 last; 4% complete
  • UXZU4/UXYH5 1,700 from -8.25 to -7.75, -8.0 last; 1% complete
  • USZ4/USH5 8,600 from -5.0 to -3.0, -3.25 last; 9% complete
  • WNZ4/WNH5 5,100 from -4.0 to -3.0, -3.5 last; 3% complete
  • Reminder, December futures won't expire until next month: 10s, 30s and Ultras on December 19, 2s and 5s on December 22. December options expire November 22.
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Tsy quarterly futures roll from Dec'24 to Mar'24 update below. Roll volumes remain light with percentage complete mostly 2-3% across the curve (30Y leads at nearly 10% complete) ahead the "First Notice" date on November 29. Current roll details:

  • TUZ4/TUH5 appr 4,400 from -6.88 to -6.5, -6.62 last; 2% complete
  • FVZ4/FVH5 appr 20,900 from -6.0 to -5.5, -5.5 last; 3% complete
  • TYZ4/TYH5 appr 15,300 from -5.0 to -4.75, -4.75 last; 4% complete
  • UXZU4/UXYH5 1,700 from -8.25 to -7.75, -8.0 last; 1% complete
  • USZ4/USH5 8,600 from -5.0 to -3.0, -3.25 last; 9% complete
  • WNZ4/WNH5 5,100 from -4.0 to -3.0, -3.5 last; 3% complete
  • Reminder, December futures won't expire until next month: 10s, 30s and Ultras on December 19, 2s and 5s on December 22. December options expire November 22.