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Holding Gains Post-Data

US TSY FUTURES

Tsys still well bid after stronger than expected income (+0.9% vs. 0.4% exp) and spending (1.4% vs. +1.0% exp) but inflation weaker than expected (1.5% vs. 1.7%). Mildly choppy price action with current levels little off opening highs, healthy volumes (TYZ near 500k already). Yld curves mildly mixed, update:

  • 3M10Y -0.321, 72.826 (L: 70.124 / H: 73.581)
  • 2Y10Y +0.269, 67.32 (L: 65.444 / H: 67.965)
  • 2Y30Y +0.047, 144.989 (L: 143.228 / H: 146.164)
  • 5Y30Y +0.251, 123.272 (L: 122.409 / H: 124.142)
  • Current futures levels:
  • Dec 2Y up 0.25/32 at 110-13.75 (L: 110-13.37 / H: 110-13.75)
  • Dec 5Y up 1.25/32 at 125-22 (L: 125-20.5 / H: 125-23)
  • Dec 10Y up 3/32 at 138-16 (L: 138-13 / H: 138-19.5)
  • Dec 30Y up 14/32 at 173-9 (L: 172-31 / H: 173-19)
  • Dec Ultra 30Y up 1-9/32 at 216-26 (L: 215-26 / H: 217-09)

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