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Another TU/FV/UXY Fly Blocked, Looking To Fade 5-Year Weakness

US TSY FUTURES
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Latest block trade lodged at 07:43:33 London/02:43:33 NY:

  • TUM4 4,450 lots blocked at 101-17.125, looks like a seller. DV01 ~$161.5K.
  • FVM4 7,860 lots blocked at 105-01.75, looks like a buyer. DV01 ~$323K.
  • UXYM4 1,900 lots blocked at 110-16+, looks like a seller. DV01 ~$161.5K.
  • That points to a TU/FV/UXY fly trade, selling the wings & buying the belly.
  • This comes on the heels of a block in the same direction and in the same size in that structure during pre-NY trade on Wednesday.
  • The 2s5s10s cash butterfly continues to see 5s trading around the cheapest level since Oct '23. The aforementioned block flow looks to fade that move.
Fig. 1: U.S. 2-/5-/10-Year Butterfly (bp)

Source: MNI - Market News/Bloomberg

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Latest block trade lodged at 07:43:33 London/02:43:33 NY:

  • TUM4 4,450 lots blocked at 101-17.125, looks like a seller. DV01 ~$161.5K.
  • FVM4 7,860 lots blocked at 105-01.75, looks like a buyer. DV01 ~$323K.
  • UXYM4 1,900 lots blocked at 110-16+, looks like a seller. DV01 ~$161.5K.
  • That points to a TU/FV/UXY fly trade, selling the wings & buying the belly.
  • This comes on the heels of a block in the same direction and in the same size in that structure during pre-NY trade on Wednesday.
  • The 2s5s10s cash butterfly continues to see 5s trading around the cheapest level since Oct '23. The aforementioned block flow looks to fade that move.
Fig. 1: U.S. 2-/5-/10-Year Butterfly (bp)

Source: MNI - Market News/Bloomberg