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Position Building In FV/UXY/WN Fly, Via Blocks

US TSY FUTURES
HomepageBond Market NewsBulletMarketsFixed Income Bullets

Latest block trades lodged at 09:05:26 London/04:05:26 NY:

  • FVU4 7,300 lots blocked at 106-07+, looks like a buyer.
  • UXYU4 7,000 lots blocked at 112-16+, looks like a seller.
  • WNU4 1,580 lots blocked at 123-01, looks like a buyer.
  • Would point to a belly seller of the FV/UXY/WN fly.
  • This comes with the 5-/10-/30-Year cash Tsy butterfly trading at fresh multi-week highs (in closing terms).
  • The position looks for a continuation of that move.
  • The block follows a virtually identically sized trade that was blocked around this time yesterday, which also looked like a belly seller of the fly.
  • A reminder that we have seen several rounds of TU/FV/UXY fly block trades during Asia/early London hours in recent months.
  • This could be the same account, with a new position seemingly building in the FV/UXY/WN fly (over $1.2mn DV01 belly equivalent over the two trades).

Fig. 1: U.S. 5-/10-/30-Year Butterfly (bp)

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Latest block trades lodged at 09:05:26 London/04:05:26 NY:

  • FVU4 7,300 lots blocked at 106-07+, looks like a buyer.
  • UXYU4 7,000 lots blocked at 112-16+, looks like a seller.
  • WNU4 1,580 lots blocked at 123-01, looks like a buyer.
  • Would point to a belly seller of the FV/UXY/WN fly.
  • This comes with the 5-/10-/30-Year cash Tsy butterfly trading at fresh multi-week highs (in closing terms).
  • The position looks for a continuation of that move.
  • The block follows a virtually identically sized trade that was blocked around this time yesterday, which also looked like a belly seller of the fly.
  • A reminder that we have seen several rounds of TU/FV/UXY fly block trades during Asia/early London hours in recent months.
  • This could be the same account, with a new position seemingly building in the FV/UXY/WN fly (over $1.2mn DV01 belly equivalent over the two trades).

Fig. 1: U.S. 5-/10-/30-Year Butterfly (bp)

Keep reading...Show less