US TSY FUTURES: June'25-September'25 Roll Update - Volume Rising
May-22 12:50
Rising Tsy quarterly futures roll volumes from June'25 to September'25 this morning outlined below. Percentage complete appr 25% in 5s, 10s and 30s while 2s, 10- and 30Y ultras in the mid-to upper-teens. Sep'25 contract takes lead on May 30 - "First Notice" date. Current roll details:
- TUM5/TUU5 appr 140,000 from -8.75 to -8.25, -8.75 last, appr 17% complete
- FVM5/FVU5 appr 565,500 from -3.0 to -2.5, -2.5 last, appr 26% complete
- TYM5/TYU5 appr 458,100 from -0.25 to +0.75, +0.00 last, appr 24% complete
- UXYM5/UXYU5 appr 17,100 from 4.5 to 4.75, 4.5 last, appr 15% complete
- USM5/USU5 appr 89,600 from 11.75 to 13.0, 11.75 last, appr 24% complete
- WNM5/WNU5 appr 54,000 from 6.5 to 8.0, 7.0 last, appr 17% complete
- Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 18, 2s and 5s on June 30. June Tsy options, however, expire May 23.
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- Little reaction to the much lower than expected Philadelphia Fed Non-Mfg Activity data.
- Treasuries remain mixed, curves flatter (2s10s -4.066 at 60.135) with the long end outperforming, 10s steady: TYM5 at 110-25.5, 10Y yield -.0196 at 4.3910.
- TYM5 remains inside technicals: support at 110-15/109-08 (Low Apr 15 / 11 and the bear trigger), resistance above at 111-01+/17+ (20-day EMA / High Apr 16)
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