Treasury and Eurodollar futures are lower in early trade today, following the strongest session since Feb. 25. That late-Feb session, as appears likely for yesterday’s trade, did not mark a renewed bullish trend.
It is unusual when open interest in Eurodollars and Treasury futures declines on the session where the employment report is released. The reason for generally higher open interest results on these sessions may be that all parties involved have a greater confidence in their understanding of current conditions and are thus more willing to enter into new positions.
In front of the September Retail Sales report, Treasury and Eurodollar future prices are slightly higher with the Eurodollar futures yield curve having flattened by 3 basis points between EDZ5-EDZ7 since yesterday’s close while the Treasury 5-30 is relatively unchanged at 153.5 basis points and near recent wide of 157.