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*** Reality check -- pre-holiday.....>

US TSY FUTURES
US TSY FUTURES: *** Reality check -- pre-holiday market illiquidity rules in
effect. Don't be fooled by the heavy volume at the moment: TYZ>610k. Take away
current position related flow and trade in the lead quarterly is an anemic (for
this time of day) of 350k. That said, strong chance for whippy trade, heightened
sensitivity to headline risk. Futures grinding off post-data lows w/MNI Chicago
report up next at 0945ET (43.2 prior, 47.0 est). Update:
* 3M10Y  -0.143, 14.431 (L: 12.288 / H: 15.948)
* 2Y10Y  -0.113, 15.44 (L: 14.411 / H: 16.187)
* 2Y30Y  -0.751, 58.559 (L: 58.171 / H: 59.786)
* 5Y30Y  -0.431, 57.706 (L: 57.518 / H: 59.093)
Current futures levels:
* Dec 2-Yr futures down 1.875/32  at 107-18.375 (L: 107-17.625 / H: 107-20.125)
* Dec 5-Yr futures down 4.25/32  at 118-21.75 (L: 118-19.75 / H: 118-26.25)
* Dec 10-Yr futures down 7/32  at 129-15 (L: 129-11 / H: 129-22)
* Dec 30-Yr futures down 12/32  at 160-7 (L: 159-26 / H: 160-20)
* Dec Ultra futures down 19/32  at 188-26 (L: 188-03 / H: 189-15)

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