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Bonds Leading Duration Rebound

US TSY FUTURES

Futures trading mixed now, 30Y bond outperforming/making new session highs after initial post-data chop (sell-off on large up-revisions for Oct and Nov). Focus back on Dec headline miss, dampening prospect of carry-over surge in early 2021 while curves unwinding a small portion of week's steepening to multi-year highs.

  • 3M10Y -0.323, 99.005 (L: 98.329 / H: 101.72)
  • 2Y10Y +0.266, 93.933 (L: 93.526 / H: 96.052)
  • 2Y30Y -1.449, 169.75 (L: 169.679 / H: 174.09)
  • 5Y30Y -2.122, 137.275 (L: 137.275 / H: 141.294)
  • Current futures levels:
  • Mar 2Y steady at at 110-14.25 (L: 110-13.875 / H: 110-14.25)
  • Mar 5Y down 1/32 at 125-21.75 (L: 125-19.25 / H: 125-22.5)
  • Mar 10Y down 2/32 at 136-28.5 (L: 136-22 / H: 136-29.5)
  • Mar 30Y up 3/32 at 169-10 (L: 168-15 / H: 169-11)
  • Mar Ultra 30Y up 13/32 at 205-29 (L: 204-01 / H: 205-30)

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