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Choppy Open, Long End Rebounds

US TSY FUTURES

Yield curves reverse earlier steepening as long end futures rebound from knock-on selling in Gilts and Bunds, 30Y bonds making early session highs on (relatively) decent pick up in volume (TYZ>250k).

  • 3M10Y -0.326, 55.094 (L: 54.169 / H: 56.402)
  • 2Y10Y -0.526, 52.951 (L: 52.788 / H: 54.259)
  • 2Y30Y -0.716, 127.344 (L: 127.151 / H: 129.347)
  • 5Y30Y -0.834, 115.008 (L: 114.974 / H: 116.63)
  • Current futures levels:
  • Dec 2Y -0.5/32 at 110-14.875 (L: 110-14.75 / H: 110-15.25)
  • Dec 5Y -0.25/32 at 126-2.25 (L: 126-01.25 / H: 126-03.25)
  • Dec 10Y up 0.5/32 at 139-19.5 (L: 139-16.5 / H: 139-21)
  • Dec 30Y up 6/32 at 176-25 (L: 176-10 / H: 176-27)
  • Dec Ultra 30Y up 16/32 at 223-12 (L: 222-13 / H: 223-16)

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