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Off Lows Pre-NFP

US TSY FUTURES

Futures bouncing off lows heading into the NY open, relative narrow ranges on moderate volumes ahead Dec employ data (+50k est vs. +245k prior). Two-way position squaring in lead up, TYH volume just over 365k, strong steepener interest.

  • 3M10Y +0.525, 99.853 (L: 98.329 / H: 100.704)
  • 2Y10Y +0.717, 94.384 (L: 93.526 / H: 95.748)
  • 2Y30Y -0.298, 170.901 (L: 170.324 / H: 174.09)
  • 5Y30Y -0.663, 138.734 (L: 138.438 / H: 141.294)
  • Current futures levels:
  • Mar 2Y down 0.25/32 at 110-14 (L: 110-13.875 / H: 110-14.25)
  • Mar 5Y down 1.25/32 at 125-21.5 (L: 125-20 / H: 125-22.5)
  • Mar 10Y down 3.5/32 at 136-27 (L: 136-23.5 / H: 136-29.5)
  • Mar 30Y down 7/32 at 169-0 (L: 168-15 / H: 169-06)
  • Mar Ultra 30Y down 9/32 at 205-7 (L: 204-01 / H: 205-17)

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