Eurodlr/Tsy Roundup, Hedging for Hot CPI, 50bp March Liftoff

Despite softer Tsys and late Tue stock bounce, risk appetite felt skittish ahead of Thu's CPI inflation data, (0.6% revised, vs. 0.5% prior).

• CPI seasonal revisions from BLS this morning, JP Morgan economists said the "underlying data (before seasonal adjustment) did not change, and the %oya price increases through December were unaffected and continue to look strong (headline: 7.0%, core: 5.5%)." JPM forecast for Thu's January CPI "is not meaningfully impacted by the revised seasonal factors, and we still look for 0.4% monthly increases in both the headline and core CPI measures, with the core change at 0.44% to two decimals."
• Treasury futures held weaker but holding inside range after $50B 3Y note auction (91282CDZ1) comes in on the screws: 1.592% high yield vs. 1.592% WI; 2.45x bid-to-cover vs. 2.47x last month.
• Indirect take-up surges to new year high of 68.55% vs. last month's high of 61.65%, while direct bidder take-up falls to 11.14% (15.511% Jan). Primary dealer take-up recedes to 20.31% vs. 22.84% in Jan, well under the 5M average of 28.06%.
• Eurodollar/Tsy option trade focus on buying rate hike insurance in March-Sep expiries in short end 5s and 10s, trading accts hedging for a hot CPI read to signal increased chances of a 50bps hike in March and June.
• The 2-Yr yield is up 4.9bps at 1.3394%, 5-Yr is up 4.2bps at 1.8067%, 10-Yr is up 3.8bps at 1.9541%, and 30-Yr is up 3.3bps at 2.2495%.