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Bear Flattening But Off Cheaps

US TSYS
BulletMarketsFixed IncomeBond Market News

TYU2 operates comfortably off of worst levels of the Asia session on a combination of post-RBA ACGB spill over, e-minis moving back from highs, Chinese equities pushing lower on the day, crude operating back from best levels and no real progress observed in the latest phone call between senior U.S. & Chinese policymakers (after a knee jerk risk-on move was seen on the back of confirmation that the phone call between Yellen & Liu He took place). That leaves the contract -0-11 at 118-29+, 0-06+ off the base of its 0-16+ overnight range on volume of ~115K during Asia hours. Meanwhile, cash Tsys run 7-11bp cheaper across the curve, bear flattening, with some catch up to Monday’s cheapening in the core EGB & Gilt space observed as cash markets re-opened after the Independence Day holiday.

  • Overnight flow was headlined by a 7.5K block sale of the TYQ2 119.50/118.00 put spread, which saw a slightly overweighted delta hedge via TY futures (-2K).
  • Tuesday’s domestic docket will be headlined by factory orders and final durable goods data.
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TYU2 operates comfortably off of worst levels of the Asia session on a combination of post-RBA ACGB spill over, e-minis moving back from highs, Chinese equities pushing lower on the day, crude operating back from best levels and no real progress observed in the latest phone call between senior U.S. & Chinese policymakers (after a knee jerk risk-on move was seen on the back of confirmation that the phone call between Yellen & Liu He took place). That leaves the contract -0-11 at 118-29+, 0-06+ off the base of its 0-16+ overnight range on volume of ~115K during Asia hours. Meanwhile, cash Tsys run 7-11bp cheaper across the curve, bear flattening, with some catch up to Monday’s cheapening in the core EGB & Gilt space observed as cash markets re-opened after the Independence Day holiday.

  • Overnight flow was headlined by a 7.5K block sale of the TYQ2 119.50/118.00 put spread, which saw a slightly overweighted delta hedge via TY futures (-2K).
  • Tuesday’s domestic docket will be headlined by factory orders and final durable goods data.