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Curve Flatter After Long Weekend

US TSYS

Negative vaccine headline flow reintroduced itself in Asia-Pac trade, as STAT News noted that "the study of Johnson & Johnson's Covid-19 vaccine has been paused due to an unexplained illness in a study participant." This weighed on e-minis after Monday's rally (e-minis were already ticking lower as cash Tsys re-opened flatter after the elongated weekend), with yesterday's rally being a product of market pricing surrounding the odds of a blue wave in the November election, and the fiscal stimulus that such a result would entail.

  • Still, T-Notes held to a narrow 0-03+ range overnight, last +0-00+ at 138-29+, with cash Tsys trading 0.4-1.8bp richer across the curve amid bull flattening, albeit with the space back from richest levels ahead of European hours.
  • Worth flagging ~11.5K worth of the TYZ0 132.50 puts were bought on screen during Monday's session (trading at 0-01), which targets a move to ~1.50% for 10-Year yields, a blue wave hedge?
  • Tuesday's local data release docket is headlined by the latest round of CPI and average earnings prints. Elsewhere, we are set to hear from Fed's Barkin.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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