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Heavy Volumes As Duration Declines

US TSY FUTURES

Appr 235,000 TYH1 traded last 20 minutes from 136-21 down to -17 (total volume >1.4M), 10YY has climbed to new high of 1.1204% (March 2020 levels), 30YY currently 1.8853% +.0327. In March 5Y futures, appr 100,000 last 20 minutes, total volume over 733k. Yield curves resume bear steepening, update:

  • 3M10Y +3.753, 103.081 (L: 98.329 / H: 103.421)
  • 2Y10Y +3.944, 97.611 (L: 93.526 / H: 97.952)
  • 2Y30Y +3.317, 174.516 (L: 169.328 / H: 174.801)
  • 5Y30Y +0.717, 140.114 (L: 136.924 / H: 141.294)
  • Current futures levels:
  • Mar 2Y down 0.25/32 at 110-14 (L: 110-13.875 / H: 110-14.37)
  • Mar 5Y down 5.25/32 at 125-17.5 (L: 125-16.75 / H: 125-22.5)
  • Mar 10Y down 12/32 at 136-18.5 (L: 136-17 / H: 136-29.5)
  • Mar 30Y down 29/32 at 168-10 (L: 168-07 / H: 169-13)
  • Mar Ultra 30Y down 52/32 at 203-28 (L: 203-24 / H: 206-02)

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