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Extend Early Session Lows

US TSY FUTURES

Levels off early session highs, extend session lows around US cash open (chatter of risk-parity rotation between equities and rates last couple days), Tsy futures still well off early overnight highs. Decent volumes w/TYZ0 at 575k already. Recent flow includes prop acct selling 5s and 10s with real$ selling intermediates. Yld curves mildly flatter, update:

  • 3M10Y -0.484, 61.425 (L: 58.513 / H: 61.832)
  • 2Y10Y -0.394, 57.866 (L: 55.42 / H: 58.129)
  • 2Y30Y -1.257, 134.984 (L: 132.158 / H: 136.573)
  • 5Y30Y -1.379, 118.599 (L: 116.752 / H: 120.429)
  • Current futures levels:
  • Dec 2Y up 0.25/32 at 110-14.25 (L: 110-14 / H: 110-14.5)
  • Dec 5Y up 0.25/32 at 125-28.75 (L: 125-28 / H: 125-31)
  • Dec 10Y up 1.5/32 at 139-8.5 (L: 139-06 / H: 139-14)
  • Dec 30Y up 7/32 at 175-19 (L: 175-07 / H: 176-10)
  • Dec Ultra 30Y up 16/32 at 220-21 (L: 219-25 / H: 222-02)

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