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Attention turns to US CPI

US TSYS SUMMARY

US Treasuries have traded in a tight 3 ticks range during our European session and within the overnight Asia price action.

  • Contract have remained somewhat underpinned following J&J pausing vaccine study.
  • Upside in TYZ0 has been limited, on option related delta hedged futures seller, on a large diagonal Risk reversal.
  • US Equity earning season for Q3 is kicking off today, with Citi still to report next.
  • US curve is leaning bull flatter, but the tight range in the long end has keep curve moves to a minimum.
  • Looking ahead, US CPI is the highlight, while Fed's Barkin takes Part in a Virtual Discussion later today.
  • 2y yields down -0.8bp today at 0.148%
  • 5y yields down -1.6bp today at 0.322%
  • 10y yields down -2.1bp today at 0.755%
  • 30y yields down -2.7bp today at 1.547%-
  • 2s10s down -1.3bp today at 60.7bp
  • 10s30s down -0.5bp today at 79.3bp

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