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Futures trading weaker across the board, off overnight lows, Dec takes lead quarterly position, modest volumes (TYZ<225k). Sources noted light swap-tied selling in the short end earlier, fast$, prop acct buying 10s, two-way in 30s. Yld curves little steeper.
- 3M10Y +1.403, 63.12 (L: 60.557 / H: 64.029)
- 2Y10Y +0.953, 60.173 (L: 57.162 / H: 61.258)
- 2Y30Y +1.395, 138.604 (L: 135.763 / H: 139.943)
- 5Y30Y +1.117, 124.171 (L: 121.854 / H: 125.114)
- Current futures levels:
- Dec 2Y down 0.125/32 at 110-15 (L: 110-14.62 / H: 110-15.5)
- Dec 5Y down 0.5/32 at 125-31.25 (L: 125-29.5 / H: 126-00.7)
- Dec 10Y down 1.5/32 at 139-01.5 (L: 138-30 / H: 139-06.5)
- Dec 30Y down 5/32 at 174-20 (L: 174-06 / H: 175-02)
- Dec Ultra 30Y down 9/32 at 218-01 (L: 217-04 / H: 218-29)