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US TSYS: Tsys Futures Edges Slightly Lower, Long-End Underperforming

US TSYS
USBulletMarketsFixed Income BulletsNorth America
  • There is too isn't much happening in Tsys futures today, however the late move heading into the NY close overnight has somewhat continued, with longer-end contracts underperforming. TU is -00⅝ at 102-23⅞, while the TY is -03 at 110-20+, while WN is -12 at 125-27
  • Cash tsys trading is closed today for Thanksgiving. Overnight the 10yr briefly traded through 4.25%, before closing the session at 4.26%. The 10yr has seen a 24bps tightening since it reached cycle highs of 4.50% on Nov 15th.
  • The 2s10s inverted on Monday, before the curve steepened slightly, last 3.209, it has spent the three months trading between flat and 20bps.
  • Option flows have been skewed towards downside protection, betting on a deeper sell-off in tsys, with a notable flow a 14,000 10yr February 107.50 puts bought at 12. Open interest in the strike sits at 51,702 and follows buying of the same option on Monday in 39,500 at 12 for a premium of $7.5 million with the strike targets approximately 4.75% yield.
  • Fed fund futures are pricing in 15.5bps of cuts at the December meeting, 21.8bps of cumulative cuts by Jan, before a full rate cut is priced in for March.
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  • There is too isn't much happening in Tsys futures today, however the late move heading into the NY close overnight has somewhat continued, with longer-end contracts underperforming. TU is -00⅝ at 102-23⅞, while the TY is -03 at 110-20+, while WN is -12 at 125-27
  • Cash tsys trading is closed today for Thanksgiving. Overnight the 10yr briefly traded through 4.25%, before closing the session at 4.26%. The 10yr has seen a 24bps tightening since it reached cycle highs of 4.50% on Nov 15th.
  • The 2s10s inverted on Monday, before the curve steepened slightly, last 3.209, it has spent the three months trading between flat and 20bps.
  • Option flows have been skewed towards downside protection, betting on a deeper sell-off in tsys, with a notable flow a 14,000 10yr February 107.50 puts bought at 12. Open interest in the strike sits at 51,702 and follows buying of the same option on Monday in 39,500 at 12 for a premium of $7.5 million with the strike targets approximately 4.75% yield.
  • Fed fund futures are pricing in 15.5bps of cuts at the December meeting, 21.8bps of cumulative cuts by Jan, before a full rate cut is priced in for March.