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What to Watch: MNI Chicago PMI, Year-End Rebalancing

US TSYS
Tsys trading weaker, 30s were climbing off late overnight lows have extended levels last few minutes, 30YY tapping 3.9381 high.
  • Yield curves bouncing slightly after Thu's retreat, 2s10s +1.606 at -53.922 at the moment. Continued light holiday volumes (TYH3<170k).
  • Focus on midmorning data at 0945ET (prior, est): MNI Chicago PMI (37.2, 40.0)
  • Participants wary of potential market swings going into year end portfolio rebalancing. Zerohedge repost of Goldman Sachs opinion: Dealers are long $4bn gamma at spot (20,000 eminis to buy on -100bps drop and 20,000 eminis to sell on +100bps rally)
  • FI/FX trading floor closes at 1300ET, cash Tsys close 1 hour later at 1400ET, while GLOBEX closes at 1700ET. LINK.

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