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Spds running mixed into the close, spd.....>

US SWAPS
US SWAPS: Spds running mixed into the close, spd curve near session flats vs.
steeper Tsys, long end extending inversion. Light flow on net with 2-way earlier
in 5s around 2.25873-2.26632%, $94k 2s3s5s fly/receiving the belly. More
recently, $154.8k 2Y-5Y-7Y fly (receiving the belly), spd curve flatteners in 2s
vs. 5s and 7s, $100M receiver 5s at 2.27223%. OTC vol firmer across the surface,
gamma outpacing longer vega (1M10Y outperforming), while exchange traded option
vol chops around mixed levels after showing gains around midmorning as
underlying rates sold off. Ongoing interest in low delta put buying for the most
part. Latest spread levels:
* 2Y  +0.25/21.56
* 5Y  +0.06/4.56
* 10Y -0.44/-2.38
* 30Y -1.50/-22.50

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