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EURIBOR OPTIONS

Vol Buying Resumes

US TSY OPTIONS

5Y Weekly Midcurve Calls

US 10YR FUTURE TECHS

‌‌(U1)‌‌ Support Holds For Now

OPTIONS

Expiries for Jul26 NY cut 1000ET (Source DTCC)

FED

New York Fed Staff Nowcast

Extending Highs

US TSY FUTURES

Tsy futures trading mixed w/long end weaker, lvls extending past late overnight highs, however, yld curves mixed after Thu's steepening. Overnight trade included swap-tied selling in 5s, misc acct buying 10s, Sep/Dec roll volume winding down w/Dec taking lead quarterly Monday. Update:

  • 3M10Y -0.796, 63.773 (L: 63.087 / H: 67.438)
  • 2Y10Y -0.129, 59.066 (L: 58.706 / H: 62.495)
  • 2Y30Y +1.509, 136.444 (L: 135.318 / H: 141.226)
  • 5Y30Y +2.228, 121.724 (L: 120.415 / H: 125.035)
  • Current futures levels:
  • Sep 2Y up 0.75/32 at 110-12.75 (L: 110-11.625 / H: 110-12.75)
  • Sep 5Y up 2.5/32 at 125-24 (L: 125-18 / H: 125-24.25)
  • Sep 10Y up 4.5/32 at 139-3.5 (L: 138-23 / H: 139-04)
  • Sep 30Y down 2/32 at 176-11 (L: 175-05 / H: 176-14)
  • Sep Ultra 30Y down 17/32 at 214-29 (L: 212-14 / H: 215-08)
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com