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Heavy Volumes On Post Data Reversal

US TSY FUTURES

Traders note modest volume trade on the knee-jerk gap bid immediately after the data (just over 12k in TYH1 from 136-25.5 to -29), but focus on large upward revisions to Oct (+645k) and Nov (+336K) kicked off much better selling pressure w/over 90,000 TYH1 from 136-25 to -22. Total TYH1 volume just over 500k as futures claw back to pre-data levels.

  • 3M10Y +1.204, 100.532 (L: 98.329 / H: 101.72)
  • 2Y10Y +1.594, 95.261 (L: 93.526 / H: 96.052)
  • 2Y30Y +0.465, 171.664 (L: 169.786 / H: 174.09)
  • 5Y30Y -0.737, 138.66 (L: 137.94 / H: 141.294)
  • Current futures levels:
  • Mar 2Y down 0.25/32 at 110-14 (L: 110-13.875 / H: 110-14.25)
  • Mar 5Y down 2.25/32 at 125-20.5 (L: 125-19.25 / H: 125-22.5)
  • Mar 10Y down 5.5/32 at 136-25 (L: 136-22 / H: 136-29.5)
  • Mar 30Y down 11/32 at 168-28 (L: 168-15 / H: 169-08)
  • Mar Ultra 30Y down 16/32 at 205-0 (L: 204-01 / H: 205-22)

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