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US TSY FUTURES: *** Very early roll update as June takes lead from March later
in month (first notice February 28). Started seeing legged roll volume last
week, but as can be seen below has yet to really take off. March future's
staggered expiration on March 20 for 10s, 30s and Ultras, and March 29 for 2s
and 5s. Latest volume:
* TUH/TUM appr 3.12 last; 8% complete
* FVH/FVM appr 2.5 last; 4% complete
* TYH/TYM appr 3.5 last; 2% complete
* USH/USM appr 22.0 last; 1% complete
* WNH/WNM appr 29.0 last; <1% complete