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US TSY OPTIONS

Feb 10Y Put Buying

US TSY FLOWS

US 30yr yield lowest since start of January

US EURODLR OPTIONS

Blue Dec Puts, Underlying Extends Inversion

CORN TECHS

(H2) Trend Condition Remains Bullish

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  • Cash Tsys have seen a large, belly-led rally today in the wake of the discovery of a new, aggressive Covid variant in Africa. Data on real-world transmissibility or vaccine efficacy could take "several weeks" according to the WHO.
  • The 2Y yield is -13bps at 0.508%, 5Y is -15.5bps at 1.187%, 10Y is -12bps at 1.516% and 30Y is -9bps at 1.870%. This has completely unwound the sell-off earlier this week on the accelerated taper and earlier Fed hike theme.
  • TYZ1 futures are up sharply on the day, currently +1-07 at 131-01 on high volumes despite coming post-Thanksgiving.
  • Separately, S&P500 futures are down -1.8% and oil is down 6-7% today.
  • No US data/auctions today. Cash Tsys will close early at 1400ET/1900GMT per SIFMA recommendation and Tsy futures at 1300ET/1800GMT (although some prices will print until 1315ET).
  • The macro focus next week is Powell testifying on Tue and Wed before non-farm payrolls for Nov on Fri.
  • These are particularly pertinent as money markets have pushed back the second 25bp hike to 2023 and questions arise whether the Fed will slow rather than accelerate the pace of tapering at the Dec 15 meeting.