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Extend Session Lows, Yld Curves Bear Steepen

US TSY FUTURES

Long end extending session lows last few minutes, long end back to Oct 23 levels. If USZ breaks 171-22 -- brings bonds back to early June levels. Volumes on the rise (TYZ>550k). Interesting option flow, upside call buyers fading the move (or taking advantage to cover shorts) amid recent vol sellers (-4,000 TYZ 136.5/139.5 strangles, 23/64). Update:

  • 3M10Y +3.241, 78.43 (L: 75.471 / H: 78.938)
  • 2Y10Y +3.127, 71.431 (L: 68.951 / H: 71.939)
  • 2Y30Y +3.755, 149.351 (L: 145.593 / H: 149.964)
  • 5Y30Y +2.437, 126.42 (L: 123.501 / H: 126.966)
  • Current futures levels:
  • Dec 2Y -0.5/32 at 110-12.5 (L: 110-12.37 / H: 110-13.12)
  • Dec 5Y down 3.25/32 at 125-16 (L: 125-15.75 / H: 125-19.75)
  • Dec 10Y down 8/32 at 138-1.5 (L: 138-00.5 / H: 138-11)
  • Dec 30Y down 26/32 at 171-30 (L: 171-25 / H: 172-28)
  • Dec Ultra 30Y down 1-16/32 at 214-9 (L: 214-02 / H: 216-02)

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