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Post-CPI React

US TSY FUTURES
  • Fast two-way as Tsy futures gap lower (TYH4 110-12.5) but quickly rebounds to 110-31.5 (+21.5) after slight gain in CPI MoM (0.1% vs. 0.0% est), in-line CPI Ex Food and Energy MoM (0.3% vs. 0.3% est), YoY (3.2% vs. 3.1% est) and CPI Ex Food and Energy YoY (4.0% vs. 4.0% est).
  • Mar'24 10Y futures receding again, trading 110-20 last (+9.5) vs. 110-31.5 high. Initial resistance at 111-09+ (High Dec 7 and bull trigger) followed by 111-19 (1.236 proj of the Oct 19 - Nov 3 - Nov 13 price swing). Initial support well below at 109-25+ 20-day EMA.
  • Curves flatter at the moment (3M10Y -4.441 at -121.123; 2Y10Y -.069 at -47.962).

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