A couple of notes on 5/30 treasury spread…

5/30 at 102 this morning (long term chart above), though other curve measures not flattening as much.  Long term 0.618 retrace form 2006 low of -11.5 to 2010 high is 304 is 109. (this period was an easing period). There have been many lows around 100-105 since 2008. I expected a ‘dovish’ hike Wednesday, but it turned out to be hawkish, thus pressuring the curve. Note that late 2006 (after the hiking cycle had ended) is when the 5/30 spread started to rally.

Below is 5/30 from the LAST hiking cycle….June 2004 to August 2006.  The rate went from 1.0% to 5.25% with hikes at every meeting (as opposed to once a year or so…).  The spread went negative in 2006, and US banks were bailed out in 2008…..  Of course, the current Fed effective post the hike this week is only 116.  So the last hike cycle STARTED where we are now. 

 

 

 

 

 

Posted on June 16, 2017 at 9:58 am by alexmanzara · Permalink
In: Eurodollar Options

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