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Risk-On Scaled Back Ahead US Election

US TSY FUTURES CLOSE

Tsy futures still trading weaker but are well off late morning lows by the bell, yield curves mostly steeper but off highs. First half risk-on tone scaled back in second half (equities off highs (ESZ0 +56.0) as uncertainty over who will win election (not to mention how long results will take). Moderate volumes, TYZ0 just over 1.1M.

  • 3M10Y +3.071, 78.26 (L: 75.471 / H: 79.785)
  • 2Y10Y +2.761, 71.065 (L: 68.951 / H: 72.392)
  • 2Y30Y +2.587, 148.183 (L: 145.593 / H: 150.697)
  • 5Y30Y +1.943, 125.926 (L: 123.501 / H: 127.703)
  • Current futures levels:
  • Dec 2Y -0.75/32 at 110-12.25 (L: 110-12 / H: 110-13.12)
  • Dec 5Y -2/32 at 125-17.25 (L: 125-14.5 / H: 125-19.75)
  • Dec 10Y down 6.5/32 at 138-3 (L: 137-30.5 / H: 138-11)
  • Dec 30Y down 21/32 at 172-3 (L: 171-18 / H: 172-28)
  • Dec Ultra 30Y down 1-9/32 at 214-16 (L: 213-13 / H: 216-02)

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