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US TSYS: Tsys Futures Off Overnight Highs Following Block Sale

US TSYS
USBulletMarketsFixed Income BulletsNorth America
  • Tsys futures pushed higher over the US morning session after a raft of US economic data, which included second estimate of 3Q GDP and weekly jobless claims. Tsys then somewhat paused and pared some gains following a couple of block sales in 10yr futures. TU closed +0-02⅜ at 102-24+, while TY closed +13 at 110-23+
  • The day’s data was mixed but ultimately quite close to consensus. Still, it offered a reminder of core PCE inflation remaining on track to overshoot median FOMC projections for Q4 whilst supercore PCE inflation stabilizes at rates still uncomfortably above the 2% target.
  • There was a 7yr bond auction which saw solid results, the sale stopped 1.4bp through the WI while 10% primary dealer award was higher than previous as indirect award declined to 64.1%, offsetting increase in direct award to 25.9%
  • Option flows 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.
  • Cash tsys yields closed 2.5 to 4.6bps lower, with the 7yr outperforming. The 2yr closed -2.8bps at 4.227%, while the 10yr closed at -4.3bps at 4.263%. The 2s10s closed -1.6bps at 3.209, after inverting on Monday.
  • Cash markets are closed today ahead of the Thanks giving holiday, with no data out until next week.
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  • Tsys futures pushed higher over the US morning session after a raft of US economic data, which included second estimate of 3Q GDP and weekly jobless claims. Tsys then somewhat paused and pared some gains following a couple of block sales in 10yr futures. TU closed +0-02⅜ at 102-24+, while TY closed +13 at 110-23+
  • The day’s data was mixed but ultimately quite close to consensus. Still, it offered a reminder of core PCE inflation remaining on track to overshoot median FOMC projections for Q4 whilst supercore PCE inflation stabilizes at rates still uncomfortably above the 2% target.
  • There was a 7yr bond auction which saw solid results, the sale stopped 1.4bp through the WI while 10% primary dealer award was higher than previous as indirect award declined to 64.1%, offsetting increase in direct award to 25.9%
  • Option flows 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.
  • Cash tsys yields closed 2.5 to 4.6bps lower, with the 7yr outperforming. The 2yr closed -2.8bps at 4.227%, while the 10yr closed at -4.3bps at 4.263%. The 2s10s closed -1.6bps at 3.209, after inverting on Monday.
  • Cash markets are closed today ahead of the Thanks giving holiday, with no data out until next week.