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Tsys Futures Steady After Initial Gap Lower, Cash Trading Closed

US TSYS
  • Treasury futures are steady after opening trading lower, front-end quickly erased most of the early losses with TUU4 trading just -0-01 at 102-17⅝, while TYU4 is -0-10 at 110-28.
  • Volumes are above average today with TU 62k, FV 93k & TY 150k
  • Cash trading is close today with Japan out, but looking at moves in futures the treasury curve has bear steepened, while the long-end is 5-7bps cheaper.
  • Looking across volatility markets, despite the weekend events haven markets have been relatively stable with the VIX little changed. Implied volatility for September TY futures has bounced of yearly lows of 5.41 and now trades at 5.71

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