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Off Lows

US TSY FUTURES

Choppy, illiquid trade continues, futures still weaker across the board but off lows in the long end last few minutes, no apparent driver amid light volumes (TYZ<200k). Overnight flow includes rate locks in 3s-10s, swap tied buying in 10s, real$ and bank portfolio selling in long end. Yld curves little steeper.

  • 3M10Y +0.893, 57.222 (L: 54.407 / H: 57.386)
  • 2Y10Y +1.145, 54.477 (L: 52.714 / H: 54.641)
  • 2Y30Y +2.200, 129.46 (L: 126.686 / H: 129.72)
  • 5Y30Y +1.725, 116.361 (L: 114.18 / H: 116.585)
  • Current futures levels:
  • Dec 2Y -0.37/32 at 110-14.375 (L: 110-14.375 / H: 110-14.875)
  • Dec 5Y -1.25/32 at 126-0 (L: 125-31.75 / H: 126-01.5)
  • Dec 10Y down 3.5/32 at 139-15 (L: 139-14.5 / H: 139-19)
  • Dec 30Y down 16/32 at 176-6 (L: 176-03 / H: 176-24)
  • Dec Ultra 30Y down 1-3/32 at 222-10 (L: 222-06 / H: 223-18)

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