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US TSYS SUMMARY

Curve Lower, Flatter as Yields Reverse Off Cycle Highs

US TSY/RECAP

Yield Curve Update

STIR FUTURES

Eurodollars Futures Snapshot

USDCAD TECHS

Consolidating

AUDUSD TECHS

Probes Key Support

EURJPY TECHS

Bullish Conditions Intact

Heavy Month End Flow

US TSY FUTURES CLOSE

Late volumes surge tied to to-way month end flow, appr 450k traded from 1452-1513ET, Vwap 139-08, high volume price 107k at 139-09 (139-10 session high). The ride continued, futures see-sawed back off highs yet again after the NY close on another 70,000 TYZ. Yld curves flatter but off lows. Update:

  • 3M10Y -1.397, 60.32 (L: 58.522 / H: 64.029)
  • 2Y10Y -1.731, 57.489 (L: 55.887 / H: 61.258)
  • 2Y30Y -2.763, 134.446 (L: 131.697 / H: 139.943)
  • 5Y30Y -2.334, 120.72 (L: 118.694 / H: 125.114)
  • * Current futures levels:
  • * Dec 2Y down 0.25/32 at 110-14.8 (L: 110-14.5 / H: 110-15.5)
  • * Dec 5Y steady at 125-31.75 (L: 125-29.5 / H: 126-01.75)
  • * Dec 10Y up 2.5/32 at 139-05.5 (L: 138-30 / H: 139-10)
  • * Dec 30Y up 14/32 at 175-07 (L: 174-06 / H: 175-26)
  • * Dec Ultra 30Y up 1-9/32 at 219-19 (L: 217-04 / H: 221-03)
MNI Chicago Bureau | +1 312-431-0089 | bill.sokolis@marketnews.com