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Rates Chop, Volume Surge After Pfizer Vaccine Progress

US TSY FUTURES

Heavy volumes, TYZ>735k, after US rates gapped lower on heels of Pfizer annc vaccine prevents 90% of Covid-19. Tsys extending lows now (S&P +125.0) after bouncing on flurry of buying. Yld curves bear steepening:

  • 3M10Y +9.655, 82.375 (L: 70.283 / H: 83.908)
  • 2Y10Y +8.262, 74.636 (L: 64.585 / H: 75.998)
  • 2Y30Y +10.907, 155.367 (L: 141.794 / H: 157.636)
  • 5Y30Y +7.354, 131.026 (L: 122.198 / H: 132.657)
  • Current futures levels:
  • Dec 2Y -0.75/32 at 110-12.25 (L: 110-12.12 / H: 110-13.37)
  • Dec 5Y -6.75/32 at 125-14.25 (L: 125-13 / H: 125-24)
  • Dec 10Y down 20.5/32 at 137-29 (L: 137-25.5 / H: 138-24.5)
  • Dec 30Y down 2-15/32 at 170-27 (L: 170-09 / H: 173-24)
  • Dec Ultra 30Y down 4-29/32 at 212-03 (L: 210-24 / H: 218-06)

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