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Not Your Typical Lead-Up To FOMC Annc

US TSY FUTURES

Heavy volumes well ahead midday, TYH1 already >980k (appr 75% since the open) with futures paring gains back to 0800ET levels. Not your typical run-up to a FOMC annc where steady rate call is expected. Equity high flyers (GME, AMC, TR) and vaccine supply headlines (Astrazeneca) have taken much of the spotlight in the first half. S&P futures have rebounded appr 50% off lows over the last hour, appr same time span for Tsys, just after 10YY tapped 0.9992% low. Current levels:

  • 3M10Y -2.112, 94.256 (L: 92.565 / H: 96.715)
  • 2Y10Y -1.271, 89.891 (L: 88.37 / H: 92.523)
  • 2Y30Y -0.244, 166.514 (L: 164.44 / H: 168.779)
  • 5Y30Y -0.465, 137.569 (L: 135.771 / H: 138.923)
  • Current futures levels:
  • Mar 2Y up 0.5/32 at 110-15.875 (L: 110-15.25 / H: 110-16)
  • Mar 5Y up 2.5/32 at 126-1 (L: 125-29.5 / H: 126-02.5)
  • Mar 10Y up 4.5/32 at 137-16.5 (L: 137-09 / H: 137-20.5)
  • Mar 30Y up 15/32 at 170-11 (L: 169-20 / H: 170-25)
  • Mar Ultra 30Y up 22/32 at 207-26 (L: 206-24 / H: 208-24)

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