US TSYS: TYU5 Finds Resistance At Pre-NFP Highs; Data and 30Y Supply Ahead
- Treasuries have extended yesterday’s CPI-driven rally, underperforming EGBs and Gilts.
- President Trump said he intends to send letters to trading partners setting unilateral tariff rates in the next two weeks, ahead of a July 9 deadline to reimpose paused duties.
- Beyond PPI and weekly jobless claims at 0830ET, attention should turn to 30Y supply. Yesterday’s 10Y auction stopped through by a healthy 0.9bps but bid-to-cover faded from 2.60x to 2.52x and indirect take-up nudged lower.
- Cash yields are 3.3-4.4bp lower, with 2s lagging the decline whilst 5s through 30s otherwise see similar moves.
- 2s10s at 46.5bp (-1bp) tick back closer to towards recent flats whilst 5s30s at 89.9bp (unch) consolidates yesterday’s steepening back above pre-NFP levels.
- TYU5 has seen session highs of 110-29 overnight (+07), on solid cumulative volumes of 375k following some particularly subdued overnight sessions earlier this week.
- It’s finding some resistance here, with 110-29+ the Jun 6 high, after which lies 111-14+ (Jun 5 high and 61.8% retrace of May 1 -22 downleg). Extending the recovery from Wednesday’s low, it cancels a recent bearish threat for now. Support is seen at 109-26 (May 29 low).
- Data: Jobless claims (0830ET), PPI May (0830ET), Household net worth Q1 (1200ET)
- Coupon issuance: US Tsy $22B 30Y Bond auction re-open - 912810UK2 (1300ET)
- Bill issuance: US Tsy $65B 4W & $55B 8W bill auctions (1130ET)
- Trump schedule: Potential comments from a Bill Signing Ceremony at 1100ET.
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Historical bullets
US TSY OPTIONS: Large Jun'25 10Y Put Spread
- over 40,000 TYM5 108/109 put spds, 5 ref 110-06.5 to -06 on screen, expire 5/23.
- Same strikes as July put spread blocked earlier: 20,000 TYN5 108/109 put spds, 10
EQUITIES: Stoxx600 call Option trade
SXXP (20th June) 565c, bought for 1.3 and 1.4 in 14.8k.
STIR: Short Setting Dominated Front Of SOFR Strip Monday, Long Cover Further Out
OI data points to a mix of net short setting and long cover as most SOFR futures finished lower on Monday. Short setting was more prominent through the reds, before long cover moved to the fore further out the strip.
| 12-May-25 | 09-May-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRH5 | 1,091,676 | 1,102,121 | -10,445 | Whites | +54,730 |
SFRM5 | 1,220,210 | 1,220,031 | +179 | Reds | +26,067 |
SFRU5 | 1,013,935 | 994,156 | +19,779 | Greens | -18,229 |
SFRZ5 | 1,136,845 | 1,091,628 | +45,217 | Blues | -717 |
SFRH6 | 765,246 | 754,764 | +10,482 |
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SFRM6 | 743,359 | 741,591 | +1,768 |
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SFRU6 | 715,907 | 727,795 | -11,888 |
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SFRZ6 | 862,797 | 837,092 | +25,705 |
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SFRH7 | 659,364 | 665,326 | -5,962 |
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SFRM7 | 569,460 | 569,243 | +217 |
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SFRU7 | 357,881 | 368,219 | -10,338 |
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SFRZ7 | 395,311 | 397,457 | -2,146 |
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SFRH8 | 274,574 | 276,103 | -1,529 |
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SFRM8 | 185,218 | 187,995 | -2,777 |
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SFRU8 | 156,495 | 152,494 | +4,001 |
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SFRZ8 | 165,149 | 165,561 | -412 |
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