Rolls Set To Dominate

The bid in the U.S. Tsy space dragged futures flatter overnight, leaving YM +1.6 & XM +5.8 at the end of overnight trade, shy of firmest levels, but still comfortably higher and flatter vs. Sydney settlement.

• Expect roll flow to be in the driving seat during Sydney hours. Calculations point to ~37.5% of the YM roll being completed, while ~40.1% of the XM roll has been completed. A reminder that the rolls have been biased to the left, with the YM roll being sold from 0.186 down to 0.172 since moving to smaller tick increments after the 8 June Sydney session, while the XM roll has been sold from 0.076 down to 0.072 over the same horizon.
• There is little in the way of tier 1 data evident on the local docket on Thursday, with the latest round of consumer inflation expectations data and scheduled RBA ACGB purchases due.