Treasury Futures and DSF Daily Updates

How to Use the Treasury and DSF Pace of Roll Charts

Each trading day during the roll periods, these charts will be updated to reflect the current progression of roll activity out of expiring contracts and into the deferred months for the 2-, 5-, 10- and 30-Year U.S. Treasury Futures, Ultra T-Bond and Deliverable Swap Futures contracts.

Percent Comparison chart shows percentage of open interest remaining in the expiring contract month vs. historical pace of roll over last 20 quarters.

1 - (minus) % Comparison chart illustrates percentage of existing open interest rolled into the next nearest contract month. Includes a historical average of past rolls.

Levels Comparison chart shows the ending open interest level in the expiring contract on that date.

NOTE: Because the March-June 2013 roll is the first roll for Deliverable Swap Futures, the DSF roll charts will not illustrate the Historical and Average lines this roll period. That information will be added to the chart for subsequent roll periods.

This information may be valuable for determining the optimal roll strategy that fits with your objectives.