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FV/TY Steepener Blocked

US TSY FUTURES

Latest block trades lodged at 10:14:23 London/05:14:23 NY:

  • FVM4 6.0K lots blocked at 105-06.75, looks like a buyer.
  • TYM4 3.9K lots blocked at 108-04, looks like a seller.
  • We would point to a ~$240K DV01 steepener.
  • The 5-/7-Year spread has steepened back towards 0bp over the past couple of sessions. This trade looks for an extension of that move.

Fig. 1: U.S. 5-/7-Year Tsy Yield Curve (bp)

Source: MNI - Market News/Bloomberg

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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