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Extending Lows

US TSY FUTURES

Decent jump in volumes (TYH>480k at moment w/appr 85k trading last half hour) as futures sell-off, long end leading move (10Y B/E rate 2Y high at 2.0025%; 10YY +.0317 at 0.9448%; 30YY +.0355 at 1.6804%). No obvious driver, no headlines at the moment, could be unwind of extension trades going into year end, participants eager to get 2021 underway. Curves bear steepening.

  • 3M10Y +3.675, 86.372 (L: 83.784 / H: 86.704)
  • 2Y10Y +3.168, 82.182 (L: 79.545 / H: 82.349)
  • 2Y30Y +3.549, 155.736 (L: 152.251 / H: 156.274)
  • 5Y30Y +2.35, 130.606 (L: 128.231 / H: 131.033)
  • Current futures levels:
  • Mar 2Y down 0.12/32 at 110-15.5 (L: 110-15.12 / H: 110-15.75)
  • Mar 5Y down 2/32 at 126-3.25 (L: 126-02.25 / H: 126-05.5)
  • Mar 10Y down 6.5/32 at 137-28 (L: 137-26.5 / H: 138-02)
  • Mar 30Y down 28/32 at 172-10 (L: 172-08 / H: 173-02)
  • Mar Ultra 30Y down 1-22/32 at 211-28 (L: 211-25 / H: 213-15)

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