Treasuyr Bond Future Rollover

[shanebrannick]

Hi,

Does anyone know when most traders will move over to the Dec expiry on the Treasury futures?

Cheers
Shane

 

[Martinghoul]

Well, first notice date is Aug 31, so Z9 will be the front contract from then onwards. Rolls should be 80% done by then.

 

[shanebrannick]

Thanks Martinghoul

 

[Rhody Trader]

Well, first notice date is Aug 31, so Z9 will be the front contract from then onwards. Rolls should be 80% done by then.

From my experience in the bond market the roll is generally done a bit closer to the contract expiry, within the contract month at least. I'm not remembering exactly when (was a bond analyst once upon a very long time ago), but now I'm curious and will pay attention (maybe :cheesy: ).

 

[qshen]

Also, one of the deciding factors is to watch the volume. The December ZB contract is now the front month. There is substantially more volume trading in December.

I hope this helps. Thanks.

Best regards

Qi

 

[A Dashing Blade]

It's not set in stone but whenever the mid month has more open interest than the front month is as good a rule as any

 

[shanebrannick]

That's a great help.

Thanks Lads