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Correlation Is Highly Overrated These Days

US TSY FUTURES

Overrated? Fleeting more like it: Tsys bouncing again as equities recede after making an attempt to pare steeper losses. Implied vols elevated but off earlier highs, note VIX +4.09 at 27.11 vs. 29.06 high. Suspect moves to moderate as FOMC annc nears. Currently:

  • 3M10Y -2.62, 93.748 (L: 92.565 / H: 96.715)
  • 2Y10Y -1.778, 89.384 (L: 88.37 / H: 92.523)
  • 2Y30Y -0.798, 165.96 (L: 164.44 / H: 168.779)
  • 5Y30Y -0.703, 137.331 (L: 135.771 / H: 138.923)
  • Current futures levels:
  • Mar 2Y up 0.5/32 at 110-15.875 (L: 110-15.25 / H: 110-16)
  • Mar 5Y up 3/32 at 126-1.5 (L: 125-29.5 / H: 126-02.5)
  • Mar 10Y up 6/32 at 137-18 (L: 137-09 / H: 137-20.5)
  • Mar 30Y up 18/32 at 170-14 (L: 169-20 / H: 170-25)
  • Mar Ultra 30Y up 30/32 at 208-2 (L: 206-24 / H: 208-24)

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