April 24, 2024 09:49 GMT
TU/FV/UXY Fly Blocked, Looking To Fade 5-Year Weakness Ahead Of Auction
US TSY FUTURES
Latest block trade lodged at 10:01:20 London/05:01:20 NY:
- TUM4 4,450 lots blocked at 101-17, looks like a seller. DV01 ~$161.5K.
- FVM4 7,860 lots blocked at 105-02.25, looks like a buyer. DV01 ~$323K.
- UXYM4 1,900 lots blocked at 110-23, looks like a seller. DV01 ~$161.5K.
- That points to a TU/FV/UXY fly trade, selling the wings & buying the belly.
- The 2s5s10s cash butterfly sees 5s trading at the cheapest level since Oct ’23 ahead of this afternoon’s 5-Year Tsy auction. This position looks to fade that move.
Fig. 1: U.S. 2-/5-/10-Year Butterfly (bp)
Source: MNI - Market News/Bloomberg
Keep reading...Show less
113 words