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US TSYS: Tsys Futures Slightly Higher, Ranges Narrow Ahead Of Data

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America
  • Tsys futures are slightly off session highs, however ranges have been narrow. TU +01⅜ at 103-04⅞, while TY is +06+ at 110-30+ with initial resistance at 111-14 (Oct 25 high)
  • There was an earlier block buy of UXY, DV01 $405k, and a large TY 113 call, x30,000, delta 21%
  • Overall, Investors remain bearish ahead of the US presidential election, betting on further bond losses and increased volatility. Yields have already surged, with options traders targeting a potential 4.5% yield on the 10-year note. Elevated open interest in 10yr December 109.5 put options reflects hedging against a deeper bond selloff.
  • Overnight In tsys options there was demand during US morning for volatility hedging, with stand-out flows including a $5m premium strangle position via TY Week 1 options. The BofA move Index has now reached it's highest in 12 month, as traders expected volatility to increase heading into the election.
  • Cash tsys yields are flat to 1bps lower today, with the curve slightly flatter. The 2yr is -0.4bps at 4.092%, while the 10yr is -0.8bps at 4.246%.
  • Focus turns to ADP employment data, GDP and Pending Home Sales.
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  • Tsys futures are slightly off session highs, however ranges have been narrow. TU +01⅜ at 103-04⅞, while TY is +06+ at 110-30+ with initial resistance at 111-14 (Oct 25 high)
  • There was an earlier block buy of UXY, DV01 $405k, and a large TY 113 call, x30,000, delta 21%
  • Overall, Investors remain bearish ahead of the US presidential election, betting on further bond losses and increased volatility. Yields have already surged, with options traders targeting a potential 4.5% yield on the 10-year note. Elevated open interest in 10yr December 109.5 put options reflects hedging against a deeper bond selloff.
  • Overnight In tsys options there was demand during US morning for volatility hedging, with stand-out flows including a $5m premium strangle position via TY Week 1 options. The BofA move Index has now reached it's highest in 12 month, as traders expected volatility to increase heading into the election.
  • Cash tsys yields are flat to 1bps lower today, with the curve slightly flatter. The 2yr is -0.4bps at 4.092%, while the 10yr is -0.8bps at 4.246%.
  • Focus turns to ADP employment data, GDP and Pending Home Sales.