{US} Roll Update – 30th Nov is first notice

All rolls at/close to their lows, makes decent rolling for shorts

US Ultra Long

-29.5/-29.25

at the lows, chunky roll yesterday

19% complete

We are neutral the WN calendar spread

100:98.24

{WNWN Comdty gip10}

30yr

-01.75/-01.5

also at its recent lows

24% complete

We are slightly bullish the US roll

100:100

{usus Comdty gip10}

10yr

-12.5/-12.25

tight range thus far not much movement

21% complete

We are slightly bullish the TY roll as positioning remains unchanged and the previous rolls richened in the last week of the roll month

100:99.6

{tyty Comdty gip10}

Ultra 10yr

-9.25/-9

22% complete

slightly bullish the UXY roll given the bullish risks from curve steepening and the cheapness of the UXY roll

100:99.7

{uxyuxy Comdty gip10}

5yr

-15.75/-15.5

20% complete

neutral FV calendar spread due to bullish risks from smaller net long asset manager positioning and curve steepening risks

106:100

{fvfv Comdty gip10}

The Desmond

-14/-13.875

20% complete

bullish the TU roll given the cheapness in the roll and possible curve steepening risks and decent roll delta

100:90

{tutu Comdty gip10}