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Early Volatility Around Equity Open

US TSY FUTURES

Tsy futures had pared gains ahead the equity open -- rebounding as equitys inch higher at the moment: ESU1 +9.0. No obvious headline driver or block posts, two-way positioning and option-tied hedging ahead Dallas Fed Pres Kaplan speaking at Texas Tech business college at 1100ET.
Pick-up in Sep/Dec rolling adding to 5s and 30Y ultra-bonds:

  • FVU/FVZ 31,500 from 14.75-15.25, 15.0 last
  • WNU/WNZ 41,900, 1-23.25 last

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