30y yield tests 5%, but falls from there
May 16, 2025
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–Nice bounce in rate futures as Retail Sales were soft and PPI lower than expected. Sales at sporting goods and hobby shops fell 2.5% (headline retail sales +0.1%). Ten year yield fell 7.3 bps to 4.453% while the 5y led, falling 8.8 to 4.071%. On the SOFR strip, the peak contract is still SFRZ6, up 11 on the day to 9662.5 (3.375%).
–Tone was set early by some massive new buys in ERIS swap contracts, June’25 five and ten year contracts, (YIWM25 and YIYM25). Open interest in both contracts doubled, with fives +47k to just under 91k open and tens +59k to 122k. According to erisfutures.com 5y DV01 is 44.50 and 10y is 59.45. So 10y buys are ~ $3.5m DV01. Just for the sake of comparison, TYM5 DV01 is $63.70 and open interest is near 5 million contracts. In any case, both TYM5 and USM5 had outside days and closed near the highs; reversal days. Thirty year yield yesterday tested a new high at 5% but ended at 4.919% (USM5 113-02s)
–Housing Starts today expected 1364k from 1324k last. From Melody Wright:
21 of the 85 cities I track had both YOY and MOM price declines in April, including Los Angeles. Up from 19 last month. In the high season
–Also today: U of Mich Inflation Expectations 6.5% last (1y) and 4.4% (5-10y)
Summary of ERIS futures BLOCK (BT) buys (Ed Bolingbroke, BBG)
5Y—–>
10:54:47 250 97.8300 BT NT
09:24:17 5k 97.9100 BT NT
09:21:18 5k 97.9200 BT NT
09:11:07 5k 97.8700 BT NT
08:55:40 7.5k 97.7200 BT NT
08:57:54 7.5k 97.7300 BT NT
09:06:51 5k 97.8000 BT NT
08:52:43 7.5k 97.6600 BT NT
08:49:12 7.5k 97.6300 BT NT
08:17:45 500 97.6200 BT NT
10Y—–>
09:22:50 5k 94.3400 BT NT
09:29:37 2.5k 94.4200 BT NT
09:18:05 10k 94.3800 BT NT
09:14:25 5k 94.2800 BT NT
09:04:12 10k 94.1200 BT NT
09:05:55 5k 94.1000 BT NT
08:57:03 5k 93.9400 BT NT
08:51:11 5k 93.8200 BT NT
09:00:37 5k 94.0200 BT NT
08:53:42 5k 93.8400 BT NT
08:48:23 5k 93.9000 BT NT
