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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)
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