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Paring Recent Highs, Large SOFR Fly Block

US TSYS
  • Treasury futures have scaled off early session highs, TYM4 currently at 108-30 (+2.5) vs. 109-01.5 high after the bell, initial technical resistance at 109-09/09+ (50-day EMA/High May 3). Moderate pick-up in volumes with TYM4 just over 400k.
  • Meanwhile, the front end of the SOFR strip is back to mostly steady, large Sep'24/Dec'24/Mar'25 butterfly just blocked: 20,000 SFRU4/SFRZ4/SFRH5 at +0.010 with an additional 20,000 on the screen.
  • Otherwise, no headline or data driver, markets a little illiquid with London closed for May bank holiday.

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