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Post-Data

US TSY FUTURES

Little initial react to higher than expected weekly claims, long end held bid before extending highs again (30YY -.0564 at 1.3674%). Decent current volumes driven by pick-up in Sep/Dec rolling, with two-way from fast$ and prop accts in 10s. Update:

  • 3M10Y -3.709, 54.414 (L: 53.174 / H: 56.064)
  • 2Y10Y -3.414, 50.287 (L: 50.125 / H: 53.415)
  • 2Y30Y -4.777, 123.292 (L: 123.038 / H: 127.302)
  • 5Y30Y -3.192, 110.844 (L: 110.717 / H: 113.421)
  • Current futures levels:
  • Sep 2Y up 0.375/32 at 110-13.625 (L: 110-13.12 / H: 110-13.8)
  • Sep 5Y up 2.5/32 at 125-29.25 (L: 125-25.25 / H: 125-30)
  • Sep 10Y up 8/32 at 139-20 (L: 139-10 / H: 139-21)
  • Sep 30Y up 1-0/32 at 179-14 (L: 178-07 / H: 179-16)
  • Sep Ultra 30Y up 2-0/32 at 220-28 (L: 218-16 / H: 221-00)

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