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Tsys Futures Edge Slightly Lower, Ranges Tight

US TSYS
  • Treasury futures are trading at session lows, although ranges remain tight while volumes are inline with recent averages. TUU4 is -0-01⅛ at 103-11, while TYU4 is -0-04+ at 113-20.
  • A bullish theme in tsys remains intact following recent gains and this week’s recovery is seen as a positive development. Moving average studies are in a bull-mode position and the recent breach of 111-01. Sept'24 10Y support holds at 112-18+ (20-day EMA), while resistance is 114-03 (Aug 6 high)
  • Cash treasury curve has moved slightly wider in the first half of the session, yields are 0.5-1bps higher with the 2yr +0.8bps at 3.964%, while the 10yr is +0.6bps at 3.841%
  • Current projected rate cuts vs. overnight levels (*) post-CPI: Sep'24 cumulative -34.9bp (-39.7bp), Nov'24 cumulative -67.1bp (-74.2bp), Dec'24 -103bp (-108.1bp).

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