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Off Post-Flash PMI Lows, Triple Witching Ahead

US TSYS
  • Treasuries are mildly weaker - back near early overnight levels following mixed global PMI levels. Treasuries extended support after soft French, German and Eurozone composite flash PMIs during early London hours -- but gapped lower after slightly higher than expected US flash PMIs in Mfg (51.7 vs. 51.0 est), Services (55.1 vs. 54.0) and Composite (54.6 vs. 53.5 est).
  • Little reaction to a dip in May Existing Home Sales to 4.11m (cons 4.10m) after an unrevised 4.14m.
  • Session lows were marked at midmorning (Sep'24 10Y at 110-11.5) and spent the rest of the session see-sawing off lows to 110-16.5 (-1), 10Y yield -.0098 at 4.2496%.
  • Projected rate cut pricing remains steady to mildly lower vs. this morning's levels (*): July'24 at -10% w/ cumulative at -2.5bp at 5.302%, Sep'24 cumulative -17.6bp (-18.4bp), Nov'24 cumulative -26.6bp (-27.8bp), Dec'24 -46.7bp (-47.2bp).
  • Cross asset focus on equity market triple witching expiration of quarterly stock options, index futures and index options and Nvidia swapping ETF weighting with Apple late Friday.

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