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Weaker, Off Early Lows

US TSY FUTURES CLOSE

Futures holding weaker after the bell, trading sideways since midmorning when rates recovered about half the gap-sale move after Moderna annc positive news re: COVID-19 vaccine (longer shelf life, easier to handle, higher efficacy at 95% vs. Pfizer's 90% last week). Yld curves mildly steeper. Starting to see Dec/Mar rolling ahead Nov 30 first notice. Currently:

  • 3M10Y +2.163, 82.411 (L: 77.539 / H: 83.534)
  • 2Y10Y +1.341, 72.665 (L: 69.662 / H: 74.637)
  • 2Y30Y +1.724, 148.104 (L: 144.198 / H: 150.513)
  • 5Y30Y +1.522, 125.427 (L: 122.68 / H: 126.689)
  • Current futures levels:
  • Dec 2Y -0.25/32 at 110-11.25 (L: 110-11.125 / H: 110-11.75)
  • Dec 5Y -1/32 at 125-14.25 (L: 125-12.5 / H: 125-17.25)
  • Dec 10Y -3/32 at 138-0.5 (L: 137-27 / H: 138-08)
  • Dec 30Y -11/32 at 171-27 (L: 171-09 / H: 172-22)
  • Dec Ultra 30Y -21/32 at 214-17 (L: 213-13 / H: 216-10)

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