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Tsys Futures Steady After Opening Lower, Powell To Speak Later

US TSYS
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  • Treasury futures are steady after opening trading lower, front-end quickly erased most of the early losses with TUU4 trading just -0-00¾ at 102-17⅞, while TYU4 is -0-09 at 110-29.
  • Volumes surged this morning, although tapered off as the day progressed we still sit average recent average with TU 68k, FV 105k & TY 164k
  • 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 4-6bps 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
  • Projected rate cut pricing into year end look firmer vs. early Friday (*): July'24 at -6.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -25.2bp (-24.1bp), Nov'24 cumulative -41.4bp (-38.5bp), Dec'24 -62.9bp (-59.6bp).
  • Today, Fed Chair Powell makes his final scheduled appearance ahead of the pre-July FOMC meeting communications blackout period & Empire Manufacturing
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  • Treasury futures are steady after opening trading lower, front-end quickly erased most of the early losses with TUU4 trading just -0-00¾ at 102-17⅞, while TYU4 is -0-09 at 110-29.
  • Volumes surged this morning, although tapered off as the day progressed we still sit average recent average with TU 68k, FV 105k & TY 164k
  • 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 4-6bps 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
  • Projected rate cut pricing into year end look firmer vs. early Friday (*): July'24 at -6.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -25.2bp (-24.1bp), Nov'24 cumulative -41.4bp (-38.5bp), Dec'24 -62.9bp (-59.6bp).
  • Today, Fed Chair Powell makes his final scheduled appearance ahead of the pre-July FOMC meeting communications blackout period & Empire Manufacturing