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Extending Sell-Off

US TSY FUTURES

Making new session lows as equities bouncing off lows (still inside overnight range w/ESH1 +4.0 at moment). Hour and 20 minutes into the session: decent full day volumes already: TYH1>1.3M. Sources report real$ and bank portfolio selling across the curve, prop and fast$ two-way in short end, deal-tied selling getting lost in the mix, curve steepners.

  • 3M10Y +8.398, 95.267 (L: 85.7 / H: 95.436)
  • 2Y10Y +6.848, 90.004 (L: 82.017 / H: 90.37)
  • 2Y30Y +9.773, 168.081 (L: 156.679 / H: 168.349)
  • 5Y30Y +6.324, 139.316 (L: 131.957 / H: 139.615)
  • Current futures levels:
  • Mar 2Y down 1.12/32 at 110-14.125 (L: 110-14.12/ H: 110-15.37)
  • Mar 5Y down 7.75/32 at 125-26.75 (L: 125-26 / H: 126-04)
  • Mar 10Y down 20/32 at 137-7 (L: 137-06 / H: 137-29.5)
  • Mar 30Y down 2-7/32 at 169-25 (L: 169-23 / H: 172-10)
  • Mar Ultra 30Y down 4-19/32 at 206-16 (L: 206-12 / H: 211-23)

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