May 29, 2024 10:03 GMT
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
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