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Late Duration Dump, Month End

US TSY FUTURES CLOSE

Trading weaker across the curve after the bell, extending session lows amid late month end duration shedding and position squaring ahead next week's presidential election. Heavy volumes for an otherwise quiet end to the week, TYZ>2.1M.. Yld curves bear steepening. Update:

  • 3M10Y +4.399, 77.546 (L: 70.124 / H: 78.222)
  • 2Y10Y +4.203, 71.254 (L: 65.444 / H: 71.734)
  • 2Y30Y +4.554, 149.496 (L: 143.228 / H: 150.339)
  • 5Y30Y +3.481, 126.502 (L: 122.409 / H: 127.384)
  • Current futures levels:
  • Dec 2Y steady at 110-13.5 (L: 110-13.25 / H: 110-13.75)
  • Dec 5Y down 1.75/32 at 125-19 (L: 125-18.5 / H: 125-23)
  • Dec 10Y down 8/32 at 138-5 (L: 138-03.5 / H: 138-19.5)
  • Dec 30Y down 20/32 at 172-7 (L: 172-00 / H: 173-19)
  • Dec Ultra 30Y down 1-3/32 at 214-14 (L: 213-31 / H: 217-09)

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