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US TSY FLOWS: Late session real vol delivery. Yld curves snapped steeper w/late
as long end scaled back strong gains, but rebounded just as quickly (TYH extends
session high after dip ahead close). Heavy late volume: >260k TYH from
122-12 back up to -16.5 (total volume on day >1.6M) near 100k USH from 146-27 to
146-15 and back to -29.
- First half, strong bid across the curve no longer risk-off with equities
surged, sources pointed to FANG shares, GE outperformance. Focus turns to Fri's
Jan employ report (estimates inch lower, +167k last).
- Equities strong but off highs (SPX +18.0, 2700.5); US$ index firmer (DXY
- Flow: aforementioned heavy two-way on late real-vol, option-tied hedging,
modest month end extensions, two-way curve flow. Little in way of deal-tied
flow, rate paying in 2s, receivers in 5s and 10s. Large Eurodlr option blocks
(+107k EDU 71/72 put spds w/+50k more in pit); 25k FVH 114-26.7 said sale.
- Tsy cash/ylds: 2Y 100-02.62 (2.456%), 5Y 100-10 (2.432%), 10Y 104-08.5
(2.626%), 30Y 106-13 (2.996%).