Narrow Ranges In Asia, But Active On The Flow Side

T-Notes held to a 0-02+ range in Asia, last +0-00+ at 137-12+, with volume hampered by an Australian market holiday. Cash Tsys across the curve trade unchanged to a touch cheaper on the day, but currently sit within 0.5bp of Monday's closing levels. Still, there was plenty of interesting rounds of flow to note within the space: A 10K block of the TYJ1 138.00/133.50 risk reversals, buying the puts to sell the calls in the 4th round of 10K Asia-Pac TYJ1 risk reversal block trade in that direction over the last week or so. A 5K block of the TYH1 138.25/136.50 risk reversals (once again buying the puts to sell the calls). A 10.0K block buyer of the TYH1 138.00 calls at 0-13, which was followed up by screen lifts 5.0K of 3.0K, which paid 0-12 and 0-14 respectively, before another 10.0K block buyer paid 0-15. There was also a 5,585 block seller of TYH1 futures, as well as a 1,425 block seller of USH1 futures.

• As a reminder, T-Notes ground higher during Monday trade, with focus falling on COVID-19 vaccine matters, centring on AstraZeneca's vaccine quota issues for the EU, as well as Merck pulling the plug on their vaccine trial, while AstraZeneca was quick to downplay questions re: the efficacy of its vaccine amongst the 65+ age group. Matters surrounding tighter COVID-19 lockdowns around Europe also came to the fore, after taking a backseat during Monday's Asia-Pac dealing. A softer than expected round of German IFO data was also in the mix ahead of NY hours, while simultaneous block buys of TU, TY & UXY helped generate further support during the NY morning. This left T-Notes around best levels at the bell, even with equities off of lows, while the curve bull flattened as 30s richened by 5.5bp on the day. The rally didn't present any takedown issues at the latest round of 2-Year Tsy supply, with the auction stopping through WI by 0.2bp, while the cover edged above the recent averages and dealer participation dipped as indirect takedown jumped.
• 5-Year Tsy supply and consumer confidence headline the local docket on Tuesday.