Continued pressure on bonds

October 23, 2023
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—New low in the USZ3 contract this morning at 107-12.  Friday’s settle was 108-15.  Ten year yield closing in on 5%.  TYZ3 105-15 vs Friday settle 106-00.

–Equity futures were higher last night (Sunday) but ESZ3 printing 4232.0, -16.5 (around 5:30 EST).  Shanghai Comp currently down around 1.5% (new recent low).

–Friday featured a steeper curve, with the 2y yield down 8 bps to 5.082% while 30’s fell only 1.3 to 5.078%.  New highs in back SOFR calendar spreads.  While the red/green SOFR pack spread (2^nd vs 3^rd year forward) still is inverted around -12.0 (9560/9572), greens to blues and blues to golds are both positive and increasing.  Green/blue +10.0 (9572/9562) and blue/gold +16.0 (9562/9546).   I used rounded levels to keep numbers simple.  Reds are 2^nd yr forward (Z4, H5, M5, U5), greens are 3rd, blues are 4th, golds are 5th.  

–This week features 2, 5 and 7 year auctions starting tomorrow.

• ABOUT:
  Former member of the CME specializing in interest rate options and yield curve strategies.

  The risk of loss in trading futures and/or options is substantial and each investor and/or trader must consider whether this is a suitable investment. Past performance, whether actual or indicated by simulated historical tests of strategies, is not indicative of future results.