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Tsy futures continue to extend session lows, equities on session highs (EDZ0 +42.0), not outright headline driven but reportedly over hopes of a economic relief bill as Tsy Sec Mnuchin and House Speaker Pelosi expected to have meeting around 1245ET to discuss (closed door). Early yld curve steepeners put on are winners now. Caution -- no deal on bill and risk-on tone sure to reverse sharply. Add to potential delivered vol are potential month/quarter-end imbalances. Update:
- 3M10Y +5.513, 60.297 (L: 53.312 / H: 60.297)
- 2Y10Y +4.897, 57.155 (L: 51.471 / H: 57.32)
- 2Y30Y +6.727, 135.517 (L: 128.273 / H: 135.649)
- 5Y30Y +4.468, 120.324 (L: 115.496 / H: 120.324)
- Current futures levels:
- Dec 2Y -0.5/32 at 110-15 (L: 110-14.875 / H: 110-15.75)
- Dec 5Y -5/32 at 125-31.25 (L: 125-31.25 / H: 126-04.75)
- Dec 10Y -13.5/32 at 139-11.5 (L: 139-11 / H: 139-25.5)
- Dec 30Y -1-24/32 at 175-15 (L: 175-14 / H: 177-09)
- Dec Ultra 30Y -3-13/32 at 220-13 (L: 220-10 / H: 223-17)