Price action in rate futures remains bearish
January 7, 2025
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–30y bond exceeded last year’s high yield, printing 4.86% yesterday. marked at 4.835% at futures close (USH5 113-04s). In tens there was an early buyer of 50k TYH5 106p for 14, adding. Settled 15 vs 108-17. Open interest now 108k. The 106 strike is approximately 5% yield. Today tens are auctioned, followed by 30s tomorrow. New high in 2/10 at 34.2. On the SOFR strip, SFRZ5 was unch’d at 9602 and it’s now the peak contract price (along with H6 at 9602). From there, net changes were successively lower: Z6 -3.0 at 9597.5, Z7 -5.0 at 9592.0, Z8 -6.0 at 9586.5. Price action in interest rate contracts remains bearish.
–Today’s news includes Trade balance, JOLTS expected 7745k and ISM Services, expected 53.5 from 52.1.
