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Extending Lower

US TSY FUTURES

Futures slipping lower in early trade, recent unwind support in lead up to NY open evaporating. Decent volumes (TYZ near 300k already) with two-way in short end, prop selling 5s, deal-tied hedging in shorts to intermediates. Earlier swap-tied buying in 10s, buyer cash 10s as well. Yld curves mildly steeper for most part, update:

  • 3M10Y +0.166, 57.608 (L: 55.462 / H: 58.428)
  • 2Y10Y +0.204, 53.568 (L: 52.158 / H: 54.388)
  • 2Y30Y +0.103, 128.716 (L: 126.911 / H: 129.495)
  • 5Y30Y -0.255, 115.317 (L: 114.461 / H: 116.025)
  • Current futures levels:
  • Dec 2Y -0.25/32 at 110-14.75 (L: 110-14.625 / H: 110-15.25)
  • Dec 5Y -1.75/32 at 126-0.5 (L: 125-31.75 / H: 126-03)
  • Dec 10Y -4/32 at 139-16 (L: 139-14.5 / H: 139-21.5)
  • Dec 30Y -7/32 at 176-15 (L: 176-10 / H: 176-31)
  • Dec Ultra 30Y -16/32 at 222-23 (L: 222-12 / H: 223-24)

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