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Extending Sell-Off

US TSY FUTURES

After post-data chop, Tsy futures extend pre-open lows, yld curves rebounding slightly after flattening last couple sessions. Pick-up in sell volumes in 10s-30s, TYH appr 320k at moment; equities hold modest gains (ESH1 +10.0). Sources report prop and fast$ selling 5s-10s. Update:

  • 3M10Y +1.583, 84.6 (L: 80.676 / H: 84.766)
  • 2Y10Y +1.128, 80.871 (L: 78.417 / H: 81.037)
  • 2Y30Y +2.005, 154.731 (L: 151.067 / H: 154.865)
  • 5Y30Y +1.273, 129.714 (L: 127.286 / H: 129.781)
  • Current futures levels:
  • Mar 2Y steady at 110-15.375 (L: 110-15.12 / H: 110-15.62)
  • Mar 5Y down 1/32 at 126-1 (L: 126-00.75 / H: 126-03.75)
  • Mar 10Y down 3.5/32 at 137-28 (L: 137-28 / H: 138-03)
  • Mar 30Y down 13/32 at 172-20 (L: 172-19 / H: 173-14)
  • Mar Ultra 30Y down 25/32 at 212-13 (L: 212-11 / H: 214-04)

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