Liquidity of 10-Year Treasury Futures Calendar Spreads

We analyzed the average roll period quote size of U.S. Treasury futures calendar spreads since 2018. Figure 1 shows 10-year futures calendar spreads. The blue dots are the volume-weighted averages per roll period, whereas the green bars are the segment averages shown between the dotted lines. We can see that the segment average was the lowest since January 2022, when inflation became a real threat, and the quote sizes of the CME IR futures went down dramatically. We are now at a point where the quote sizes have recovered significantly and are comparable with the historical averages.

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