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(M1) Bullish Focus


(M1) New Multi-Month Highs


(M1) Directional Triggers Intact


Approaching Major Support


Inflation Concerns Underpin Bear Steepening


T-Notes continue to hold to a narrow 0-02+ range, last +0-00+ at 137-12+, with volume hampered by an Australian market holiday. Cash Tsys across the curve trade unchanged to a touch cheaper on the day, but currently sit within 1.0bp of Monday's closing levels. Still, there was plenty of interesting rounds of flow to note from the space:

  • A 10K block of the TYJ1 138.00/133.50 risk reversals, buying the puts to sell the calls in the 4th round of 10K Asia-Pac TYJ1 risk reversal block trade in that direction over the last week or so. A 5K block of the TYH1 138.25/136.50 risk reversals (once again buying the puts to sell the calls). A 10.0K block buyer of the TYH1 138.00 calls at 0-13, which was followed up by screen lifts 5.0K of 3.0K, which paid 0-12 and 0-14 respectively, before another 10.0K block buyer paid 0-15. There was also a 5,585 block seller of TYH1 futures, as well as a 1,425 block seller of USH1 futures.
  • JGB futures stuck to a narrow range, with futures last +11, although bulls still haven't forced their way through the 152.00 marker. The cash curve saw some light bull steepening, aided by the setup ahead and realisation of a sub-par round of 40-Year JGB issuance. The minutes from the BoJ's December meeting revealed some dialogue surrounding the future of the Bank's YCC and ETF purchase schemes, although they provided nothing in the way outright surprises, resulting in no tangible market impact (these matters will be central pillars of discussion in the Bank's monetary policy review, which is set to be released in March).
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