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FV & UXY Futures Blocked

US TSY FUTURES

Recapping a futures block from 03:03:05 London/22:03:05 NY:

  • FVU2 futures 3,279 lots blocked at 111-14, looks like seller. DV01 ~$150K.
  • UXYU2 futures 1,014 lots blocked at 126-23+, looks like a seller. DV01 ~$108K
  • Looking at the DV01 weighting, if it is a FV/UXY strategy, there is a clear overweighting towards the FV futures. We would suggest this may have been block sales of both legs based on time and sales data, but can’t be 100% sure.
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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