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More on Massive Sep'23 5Y/Dec'23 SOFR Futures Block

US TSY FUTURES

Trading desks still discussing massive cross asset Block spread post at 0843:49ET, both through respective offers:

  • 36,704 FVU3 107-13.5, well through 107-10.25 post-time offer
  • 67,200 SFRZ3 94.645 also through 94.635 post-time offer
  • Consensus is a flattener package as Tsy curves head toward extending inversion to multi-decade lows: 2s10s taps -106.695 low vs. March 40+ year low around -111.0). Ergo: Dec'23 SOFR futures are a sale vs. wide buy through the offer in Sep'23 5Y futures (DV01 appr 1.578M)

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