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Bonds Extend Lows, Curves Bear Steepen

US TSY FUTURES
  • Treasury futures continue to extend session lows in afternoon trade, no obvious headline driver, trading desks continue to point to month-end positioning, general squaring ahead of the weekend and next week's July 4th holiday.
  • Next week Thursday is closed, full sessions Wednesday with FOMC minutes released, Friday sees the latest employment data covering June.
  • Curves are bear steepening: 2s10s tapped -36.961 -- highest/least inverted since the beginning of the month, 5s30s +17.064.
  • Sep'24 10Y futures slip to 109-27 low -- near firm short-term support at 109-26+, the 50-day EMA. A clear break of this average would signal scope for a deeper retracement, towards 109-00+, the Jun 10 low.
  • Decent overall volumes with TYU4 near 1.9M contracts already. Despite that, markets can get a bit volatile heading into the month/quarter end - a sharp rally back to morning highs is not out of the question.

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