July 11, 2024 08:21 GMT
Another TU/TY Flattener Blocked
US TSY FUTURES
Latest block trades lodged at 09:32:45 London/04:32:45 NY:
- TUU4 8.5K lots blocked at 102-07.75, looks like a seller.
- TYU4 5.0K lots blocked at 110-14+, looks like a buyer.
- Once again, we would suggest this was a ~$323K DV01 TU/TY flattener, following another block trade of the identical size seen earlier in the day.
- This comes with the 2-/7-Year yield curve trading a little below the middle of its ’24 range, ~1bp flatter since the previous block was lodged.
Fig. 1: U.S. 2-/7-Year Tsy Yield Curve (bp)
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