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Rate Rally Gains Momentum

US TSY FUTURES

Tsy futures extend past early overnight highs last couple minutes, still no concrete driver (sources suggest knock on bid w/EGB's, Gilts; carry-over month end duration extensions) last half hour. Couple desks say tight stops triggered on the way up. Yld curves reversing steeper levels. Update:

  • 3M10Y +0.081, 59.657 (L: 57.241 / H: 62.603)
  • 2Y10Y -0.457, 56.737 (L: 56.411 / H: 59.487)
  • 2Y30Y +0.065, 134.247 (L: 133.919 / H: 138.01)
  • 5Y30Y +0.722, 121.298 (L: 120.655 / H: 124.063)
  • Current futures levels:
  • Dec 2Y up 0.125/32 at 110-15.25 (L: 110-14.5 / H: 110-15.375)
  • Dec 5Y up 0.25/32 at 126-1.25 (L: 125-29.75 / H: 126-01.75)
  • Dec 10Y up 1/32 at 139-9 (L: 139-01 / H: 139-10)
  • Dec 30Y down 8/32 at 175-15 (L: 174-21 / H: 175-18)
  • Dec Ultra 30Y down 28/32 at 220-1 (L: 218-05 / H: 220-06)

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