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Another TY/WN Flattener Blocked

US TSY FUTURES

Latest block trades lodged at 10:09:28 London/05:09:28 NY:

  • TYM4 5.5K lots blocked at 108-24+, looks like a seller.
  • WNM4 1.8K lots blocked at 123-26, looks like a buyer.
  • That points to a TY/WN flattener, DV01 ~$350K.
  • Follows a ~$290K DV01 flattener block on the same curve in early London trade.
  • 7s30s is already 12bp off May steeps, these positions look for an extension of that move.

Fig. 1: U.S. 7-/30-Year Yield Curve (bp)

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Latest block trades lodged at 10:09:28 London/05:09:28 NY:

  • TYM4 5.5K lots blocked at 108-24+, looks like a seller.
  • WNM4 1.8K lots blocked at 123-26, looks like a buyer.
  • That points to a TY/WN flattener, DV01 ~$350K.
  • Follows a ~$290K DV01 flattener block on the same curve in early London trade.
  • 7s30s is already 12bp off May steeps, these positions look for an extension of that move.

Fig. 1: U.S. 7-/30-Year Yield Curve (bp)

Keep reading...Show less