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US TSYS: Tsys futures Continue Sell-Off, 10yr At 4.24%

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America
  • Tsys futures resumed the sell-off on Friday, there weren't any major headlines driving prices although higher oil prices contributed to the move lower, while we did see stronger-than-expected September preliminary durable goods orders data. Front-end saw some late underperformance ahead of Treasury auctions scheduled for Monday including 2- and 5-year notes.
  • The Dec'24 contract broke below the 200-dma technical support of 111-04 with significant support now at 110-13 (61.8% retracement of the Apr - Sep bull cycle (cont)).
  • Cash tsys yields closed 2.6-3.1bps higher across the curve, the curve initial steepened, however the front-end underperformed int he second half of the session. The 2yr closed +2.6bps at 4.105%, while the 10yr closed +2.8bps at 4.24%.
  • Current projected rate cuts into early 2025 look steady to mildly lower vs. late Thursday levels (*): Nov'24 cumulative steady at -23.6bp, Dec'24 -43.7bp (-42.9bp), Jan'25 -60.6bp (-60.1bp), Mar'25 -79.2bp (-81.0bp).
  • There was continued buying of short-dated maturity options on 10yr tsys, with traders targeting a rise in yields to around 4.5% ahead of the Nov. 1 expiry. Notably, 20,000 Treasury 10-year Week 1 Nov24 109.25 puts were bought at 2 ticks, amounting to a premium of $625,000. The new position suggests expectations of a 30bps increase in yields from current levels.
  • Mixed data included; better than expected Durable goods orders, with both headline and core orders beating expectations in the preliminary September release and a downward revision to Aug being confined to volatile items. Overall durable goods orders -0.8% M/M (cons -1.0%) after a downward revised -0.8% (initial 0.0%) & U.Mich consumer sentiment was stronger than expected in October as it was revised up to 70.5 (prelim 68.9) for a small increase from 70.1 in September.
  • There is little on the data calendar for the day ahead.
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  • Tsys futures resumed the sell-off on Friday, there weren't any major headlines driving prices although higher oil prices contributed to the move lower, while we did see stronger-than-expected September preliminary durable goods orders data. Front-end saw some late underperformance ahead of Treasury auctions scheduled for Monday including 2- and 5-year notes.
  • The Dec'24 contract broke below the 200-dma technical support of 111-04 with significant support now at 110-13 (61.8% retracement of the Apr - Sep bull cycle (cont)).
  • Cash tsys yields closed 2.6-3.1bps higher across the curve, the curve initial steepened, however the front-end underperformed int he second half of the session. The 2yr closed +2.6bps at 4.105%, while the 10yr closed +2.8bps at 4.24%.
  • Current projected rate cuts into early 2025 look steady to mildly lower vs. late Thursday levels (*): Nov'24 cumulative steady at -23.6bp, Dec'24 -43.7bp (-42.9bp), Jan'25 -60.6bp (-60.1bp), Mar'25 -79.2bp (-81.0bp).
  • There was continued buying of short-dated maturity options on 10yr tsys, with traders targeting a rise in yields to around 4.5% ahead of the Nov. 1 expiry. Notably, 20,000 Treasury 10-year Week 1 Nov24 109.25 puts were bought at 2 ticks, amounting to a premium of $625,000. The new position suggests expectations of a 30bps increase in yields from current levels.
  • Mixed data included; better than expected Durable goods orders, with both headline and core orders beating expectations in the preliminary September release and a downward revision to Aug being confined to volatile items. Overall durable goods orders -0.8% M/M (cons -1.0%) after a downward revised -0.8% (initial 0.0%) & U.Mich consumer sentiment was stronger than expected in October as it was revised up to 70.5 (prelim 68.9) for a small increase from 70.1 in September.
  • There is little on the data calendar for the day ahead.