Futures Cheapen In Narrow Ranges, Activity Limited By Easter Holidays & Proximity To NFPs

Tsy futures have cheapened at the margin and sit at/near session lows at typing, with TYM3 -0-05+ at 116-12, as that contract operates within a tight 0-03 range. There was no follow through to a late NY block buy in the contract (+2,075).

• Ultimately, the space remains rangebound, with limited volumes observed in futures (~14K in TYM3) given the focus on the impending event risk (NFPs), virtually non-existent news flow and the lack of liquidity/closure of the cash market until a curtailed NY session (owing to the observance of the Easter holidays).
• When it comes to NFPs, an upside surprise would likely need to be followed by a similar dynamic in next week’s CPI print to see a material shift higher in the market pricing of the Fed’s rate path. Alternatively, a downside miss could see a large dovish reaction considering recent reactions to less prominent data releases. Our full preview of the release is available here.