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Large 2022 Rate Hike Hedge

US TSYS SUMMARY

Tsy futures mixed after the bell, yld curves steeper with long end failing to maintain first half support. Volume relatively muted, especially when taking the final dregs of Sep/Dec rolling into account, Dec takes lead quarterly Monday. Note, BBg/Barclays month end Tsy extension at 0.16y largest since 2009.

  • Hard to keep a vol index up for long: VIX -1.54 at 22.93 -- session lows, after hitting 26.30 around 1100ET.
  • Little/no data react: July Personal Income +0.4%; Nom PCE +1.9%; Beats Expectations; Chicago Business Barometer eased by 0.7pt to 51.2 in Aug, lowest level since June.
  • Does mark second consecutive read above 50-mark, however.
  • EURODLR OPTIONS: More 2022 Rate Hike Option Insurance: In addition to the appr 120,000 (60k Blocked) Green Dec 95/96 put spds bought earlier at 2.5, paper buying +4,500 long Red Mar 90/92/93/96 put condors, 1.5 vs. 99.78/0.10%.
  • The 2-Yr yield is down 2.4bps at 0.1348%, 5-Yr is down 3.6bps at 0.2768%, 10-Yr is down 2.3bps at 0.7293%, and 30-Yr is up 0.3bps at 1.5123%
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