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Heavy Post-Data Volumes Roll Driven

US TSY FUTURES
  • Treasury futures still inside a relatively narrow range after bouncing off this morning's weekly claims-tied lows following mixed flash PMIs (services reflects largest miss in a year).
  • Futures volumes have surged, however, amid heavy quarterly rolls ahead of February 29 "First Notice" date. Trading desks reported buying of 200,000 TYH4/TYM4 around -16.5 recently (multiple larger clips) helping push TYH4 volume near 2M already.

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