US Treasury Futures Roll Microstructure Basics

August 25, 2011 - The Treasury futures roll occurs quarterly with the March, June, September, and December delivery cycle of Treasury futures contracts. Investors with positions in Treasury futures typically roll their positions when the beginning of the contract expiration month approaches. The deferred month, or the next quarterly contract, will become the new front month contract following expiration. Holders of long positions in the front month contract, who typically do not want to take delivery, sell to buy the deferred month contract, while holders of short positions in the front month will buy the front month contract and sell the deferred. This shift in open interest from the expiring front month contract to the deferred contract takes place before the delivery period begins.

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