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Tsys Futures Edge Higher, SFRZ4 Volumes Spike, Leading Index To Come

US TSYS
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  • Treasury futures traded in a very narrow range today, volumes were slightly higher than normal although well done on yesterday, front-end performed slightly better with the 2Y up (+ 00.75) at 101-25.125 while the 10Y contract is up (+ 01) at 109-16+.
  • The treasury curve has bull-steepened today, yields are flat to 2.5bps lower, the 2Y yield -2.2bps at 4.774%, 10Y -0.6bps to 4.369%, while the 2y10y +1.586 at -40.660
  • There were multiple Block trades in SFRZ4 options earlier for total size of 52k at 95.135 to 95.145.
  • MNI BRIEF: Bostic Repeats Fed Rate Cut At End of Year Likely - (See link)
  • Rate cut projections gradually receded from Wed's post-data highs. At the moment: June 2024 at -10% w/ cumulative rate cut -2.5bp at 5.313%, July'24 at -22% vs. -28% earlier w/ cumulative at -8bp (-9.5bp earlier) at 5.258%, Sep'24 cumulative -21.6bp (-23.6bp earlier), Nov'24 cumulative -30.3bp (-33.8bp earlier), Dec'24 -45.4bp (-49.5bp earlier).
  • Looking Ahead: Leading Index. Fed Speak: Waller, Kashkari, Daly, Kugler
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  • Treasury futures traded in a very narrow range today, volumes were slightly higher than normal although well done on yesterday, front-end performed slightly better with the 2Y up (+ 00.75) at 101-25.125 while the 10Y contract is up (+ 01) at 109-16+.
  • The treasury curve has bull-steepened today, yields are flat to 2.5bps lower, the 2Y yield -2.2bps at 4.774%, 10Y -0.6bps to 4.369%, while the 2y10y +1.586 at -40.660
  • There were multiple Block trades in SFRZ4 options earlier for total size of 52k at 95.135 to 95.145.
  • MNI BRIEF: Bostic Repeats Fed Rate Cut At End of Year Likely - (See link)
  • Rate cut projections gradually receded from Wed's post-data highs. At the moment: June 2024 at -10% w/ cumulative rate cut -2.5bp at 5.313%, July'24 at -22% vs. -28% earlier w/ cumulative at -8bp (-9.5bp earlier) at 5.258%, Sep'24 cumulative -21.6bp (-23.6bp earlier), Nov'24 cumulative -30.3bp (-33.8bp earlier), Dec'24 -45.4bp (-49.5bp earlier).
  • Looking Ahead: Leading Index. Fed Speak: Waller, Kashkari, Daly, Kugler