June 12, 2024 07:13 GMT
TU/UXY Flattener Blocked
US TSY FUTURES
Latest block trades lodged at 07:44:02 London/02:44:02 NY:
- TUU4 16.4K lots blocked at 101-30.875, looks like a seller.
- UXYU4 7.2K lots blocked at 113-02+, looks like a buyer.
- Would point to a ~$640K DV01 flattener.
- Looks like a potential exit from a block steepener trade that was put on across 2 clips in London & Asia hours on June 10.
- Comes with the 2s10s cash curve trading less than 5bp off the ’24 low.
Fig. 1: U.S. 2-/10-Year Tsy Curve
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