May 22, 2024 08:11 GMT
TU/FV/UXY Fly Blocked
US TSY FUTURES
Latest block trades lodged at 08:40:55 London/03:40:55 NY:
- TUU4 8,050 lots blocked at 101-31+, looks like a seller.
- FVU4 14,900 lots blocked at 106-05, looks like a buyer.
- UXYU4 3,600 lots blocked at 112-22+, looks like a seller.
- Looks like a DV01 $607K TU/FV/USY fly, buying the body, selling the wings.
- A reminder that we saw similar block trades on the TU/FV/UXY M4 fly in late April.
- 5s have richened by ~13bp on the 2-/5-10/-Year fly vs. April cheaps, but this trade looks for an extension of that move.
Fig. 1: U.S. 2-/5-/10-Year Fly (bp)
Source: MNI - Market News/Bloomberg
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