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Yld Curves Bull Flatten

US TSY FUTURES CLOSE

Futures trading mostly higher after the bell, long end outperforming. Moderate volumes (TYU appr 915k) partly driven by pick-up in Sep/Dec roll volumes (TYU/TYZ>43k), still a long way to go ahead Aug 31 First Notice. Update:

  • 3M10Y -2.921, 55.202 (L: 53.174 / H: 56.064)
  • 2Y10Y -2.923, 50.778 (L: 49.968 / H: 53.415)
  • 2Y30Y -3.796, 124.273 (L: 122.963 / H: 127.302)
  • 5Y30Y -2.68, 111.356 (L: 110.08 / H: 113.421)
  • Current futures levels:
  • Sep 2Y down 0.125/32 at 110-13.125 (L: 110-13.125 / H: 110-13.8)
  • Sep 5Y up 0.5/32 at 125-27.25 (L: 125-25.25 / H: 125-30)
  • Sep 10Y up 4/32 at 139-16 (L: 139-10 / H: 139-21)
  • Sep 30Y up 22/32 at 179-4 (L: 178-07 / H: 179-16)
  • Sep Ultra 30Y up 1-9/32 at 220-5 (L: 218-16 / H: 221-01)

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