How to Use the Treasury Pace of Roll Charts
Each trading day during the roll period, these charts will updated to reflect the current progression of roll activity out of the expiring contracts and into the deferred months for the 2-, 5-, 10- and 30-Year U.S. Treasury futures contracts.
Percent Comparison chart shows percentage of open interest exiting 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.
This information may be valuable for determining the optimal roll strategy that fits with your objectives.
