May 24, 2024 09:44 GMT
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)
Source: MNI - MArket News/Bloomberg
Keep reading...Show less
94 words