Back To Little Changed On The Day

A light downtick in crude oil futures factors into the stabilisation of Tsys away from session cheaps after the early blip lower saw TY futures through yesterday’s low and 5+-Year yields through yesterday’s peaks.

• Cash Tsys are now 0.5bp richer to 0.5bp cheaper, with a very modest twist steepening bias apparent.
• TYU3 is -0-03+, operating around the middle of its 0-09+ session range.
• Meaningful options flow has been geared towards the downside, with a 10K block rolling existing exposure down and out into the FVQ3 107.25 puts, while a 5K screen lift of the TYQ3 112.00 puts was also seen.
• FOMC-dated OIS pricing is similar to early London levels, with ~8bp of tightening showing for next week, a cumulative ~21bp of tightening seen through July and ~25bp of cuts priced through year-end (vs. current terminal levels).
• Macro news flow remains limited.
• As we noted earlier, weekly jobless claims data provides the highlight of the NY docket today. It is also worth noting that post-meeting comments from BoC Deputy Governor Beaudry will probably get more attention than usual, after the Bank caught most off guard yesterday.