Late Volume Surge, Tsy Gap Lower Into Month-End

Tsy futures reversed early strength, ground lower soon after the open to trade weaker across the curve after the closing bell 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>2.2M. massive duration selling after the bell with 500k TYZ traded over 30 minute period from 138-09 to 138-03.5 (session low).
• Tsys were well bid after stronger than expected income (+0.9% vs. 0.4% exp) and spending (1.4% vs. +1.0% exp) data but inflation weaker than expected (1.5% vs. 1.7%). Not much of a react to MNI Chicago Business Barometer: 61.1 vs. 62.4 last month.
• Talk of risk-parity fund unwinds also made the rounds again as Tsys and equities sold off in tandem.
• The 2-Yr yield is up 0.6bps at 0.1525%, 5-Yr is up 1bps at 0.3796%, 10-Yr is up 3.9bps at 0.8619%, and 30-Yr is up 4.4bps at 1.6459%.