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Belly Of TU/FV/UXY Bought On Block Again, Position Builds

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

Latest block trades lodged at 08:37:47 London/03:37:47 NY:

  • TUU4 8.2K lots blocked at 102-00, looks like a seller.
  • FVU4 15.0K lots blocked at 106-09.25, looks like a buyer.
  • UXYU4 3.6K lots blocked at 113-02, looks like a seller.
  • We point to a $641K DV01 buyer of the belly of the TU/FV/UXY fly.
  • This represents familiar flow, with recent weeks seeing several rounds of Asia & London morning block buying of FV vs. the wings on that structure.
  • 5s have already richened by ~15bp from April cheaps on the 2-/5-/10-Year butterfly, this position targets an extension of the move and started to be built in late April (assuming it is the same account).

Fig. 1: U.S. 2-/5-/10-Year Butterfly (bp)

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Latest block trades lodged at 08:37:47 London/03:37:47 NY:

  • TUU4 8.2K lots blocked at 102-00, looks like a seller.
  • FVU4 15.0K lots blocked at 106-09.25, looks like a buyer.
  • UXYU4 3.6K lots blocked at 113-02, looks like a seller.
  • We point to a $641K DV01 buyer of the belly of the TU/FV/UXY fly.
  • This represents familiar flow, with recent weeks seeing several rounds of Asia & London morning block buying of FV vs. the wings on that structure.
  • 5s have already richened by ~15bp from April cheaps on the 2-/5-/10-Year butterfly, this position targets an extension of the move and started to be built in late April (assuming it is the same account).

Fig. 1: U.S. 2-/5-/10-Year Butterfly (bp)