Volume on USM09 vs. USU09

Discussion in 'Financial Futures' started by Mike805, Jun 4, 2009.

  1. Hi All,

    Recently (about 1 month ago), I started tracking the 30 yr. The volume dropped off on the M09 contract recently and the volume seems to have moved over to the U09 contract... when does this normally happen? The ESM09 volume is still strong while the ESU09 is not very liquid yet. Why does the current month ES have strong volume and not the currrent month US?

  2. Jun 1 was the first delivery day for the Jun contract. It's natural that there's a certain drop in volume in the front contract after first delivery date, 'cause some mkt participants are ill equipped to deal with cash bonds.
  3. Mike,
    I would suggest you to subscribe to the CME newsletter in order to receive the fts_orposition. You will receive the 'Treasury Bonds Position Change' automatically from CME Group FTS.
  4. Small amount of volume moves over to Sep, but the official date for change to Sep being the most active contract is Jun 11.
  5. treasuries roll on a specific one day -hard roll, spooz roll over the course of a couple of days (based on volume- soft roll) when treasuries roll you should not trade the past contract unless you need to get out of something. Spooz always roll a week or two later than treasuries, no one should be trading June treasuries right now.
  6. Thanks all. So, the US rolls on June 1st and I should be trading the U09 as of June 1st. Same goes for Sept 1st, I should be trading the Z09 contract on 9/1, correct?

    Today's U09 vol was ~236k. The M09 vol was 28.5k. That's not small volume moving over...
  7. LVMises


    Volume always rolls on Thursday night, before the last Friday of the month, approximately 3 weeks before expiration.

    So you will see volume roll to the (TY)Z9 contract on the 28th of August, with the 27th as the last day with significant volume for the (TY)U9 contract.

    There are usually a fews days of decent volume to trade after the roll however, the verticals will be much thinner.
  8. There are no hard and fast rules for rolls. The only tangible fact is that you can end up holding cash bonds, if you're long U9 on or later than Sep 1. People who don't like cash bonds will stop using the front contract before that deadline and roll what positions they have into Z9. When exactly they do it is up to them.
  9. LVMises


    The data says otherwise, futures always roll on a particular day, every quarter.

    It would be close enough to a "hard" roll as it gets.
  10. smalls


    you can do what ever you want, just on the set date the new month goes "top step". ie what the pit trades as active (where most volume/liquidity goes)
    #10     Jun 5, 2009