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Tsys Futures Volumes Surge Ahead Of NFP Later

US TSYS
  • Treasury futures edged higher during the morning session and volumes surged, SOFR options have also seen a surge in volumes which start late during the US session as headlines of sirens through Israel were sounding.
  • Tsys futures are now trading off the early morning highs, with TUU4 +01⅛ at 103-02 vs 103-04 highs, while TYU4 is + 02+ at 112-26 vs 113 highs.
  • Cash treasury curve is slightly steeper today, following moves made during the US session, yields are currently 1-2bps lower with the 10Y yields -1bps at 3.966% after overnight hitting a low of 3.94%.
  • Fed funds futures are pricing in 86bps of cuts into year-end from 72.5bps of cuts on Wednesday.
  • Nonfarm payrolls are expected to moderate further in July after the slight beat in June was more than offset by large negative revisions to the prior two months. See MNI NFP preview (here)
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