A couple of bearish bond signals to end the year
December 30, 2021
–Yields took a nice jump going into 7y auction and year end. The 30y bond yield neared 2% at 1.955% (+5.7 on the day); the 20y ended the futures session at 1.991%. Still not quite able to break the 2% barrier. Curve steepened with 2/10 up 6.4 bps to 79.5. Similar move in reds to golds with red pack (2nd year) -1.625 and golds (5th yr) -7.875, so pack spread +6.25 to 36.
–According to prelim open interest, FV gained another 52k positions and TY 61k. Rate futures up slightly this morning, but an increase in open interest along with a firming in implied volatility (which occurred across the treasury curve) would typically be construed as a bearish indicator going forward.
–New high again in EDH2/EDM2 at 25.5 up another 0.5. EDH2/M2/U2 fly is pinned to the high at 4.5.
–0EM 9862^ sold down to 48 in size of 10k. Settled 49 on Tuesday and 48.5 yesterday.
–Today brings Job Claims expected 206k and Chgo PMI expected 62.0.
