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Late 10s30s Ultra Bond Steepener Did Some Damage

US TSY FUTURES

Large, uneven steepener Block:

  • +3,500 UXYM1 145-19, buy through 145-18 post-time offer at 1556:48
  • -5,410 WNM1 at 185-02, well through the 158-11 post-time bid
$472k DV01 on Ultra tens and $1.872m on Ultra bonds, did some damage to long end -- blowing through early session lows before rebounding last couple minutes.
Current futures levels:
  • Jun 2Y down 2/32 at 110-11.125 (L: 110-11 / H: 110-13)
  • Jun 5Y down 12.25/32 at 123-18.75 (L: 123-17.75 / H: 123-27.75)
  • Jun 10Y down 16.5/32 at 131-26.5 (L: 131-24.5 / H: 132-05)
  • Jun 30Y down 20/32 at 156-19 (L: 156-08 / H: 157-04)
  • Jun Ultra 30Y down 45/32 at 185-2 (L: 184-23 / H: 186-18)
BulletMarketsFixed Income Bullets
BulletMarketsFixed Income Bullets

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