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US TSY FUTURES
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)
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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