BOJ ends negative yields. TYJ put position adjustment

March 19, 2024

–As had been consistently telegraphed, the BOJ ended negative rates, and YCC, and ended purchases of ETFs and REITS.  Currently $/yen is near its recent high, well above 150.

–Yesterday yields rose across the board, with tens +3.6 bps to 4.338%. On the SOFR strip reds thru golds were down 3.0 to 4.5.  New highs in a few of the near calendars: while SFRM4/SFRM5 remains the most inverted 1-yr calendar, it rose 1.5 to a new high of exactly -100 (9483.5/9583.5).  The near 3-month calendars are all right around one-qtr pct: M4/U4 -26.5, U4/Z4 -28, Z4/H5 -25, H5/M5 -20.5.  Suggests a smooth, continuous flight path of easing.  Like Boeing stock.  

–Crude remained bid with a late price on CLK4 82.28 (+1.70).  On this particular contract, CLK4, the high last September was 84.87.  The front contract high at that time was just over 95.  Bitcoin is undergoing significant long liquidation. 

–Of note:  while all yields are around new highs for the year, the ‘real’ ten-year inflation-indexed note yield edged back up above 2% ending at 2.015%.  The 5y tip is 1.95%.  These are restrictive levels. 

–Large position adjustment in TYJ puts as yields edged to new recent highs.  On balance, it appears as if a long TYJ 110.5/109.5 ps was replaced with long 109.75/108.75p 1×2, which settled 14 (24 and 5).  Summary below.  April options expire Friday.

–Housing Starts and $13b 20y treasury auction today (re-opening).

TYJ 109.5/108.5ps cov 109-28, 27d, 21k at 13
TYJ 110.5/109.5/108.75p fly 1x2x2 cov 109-22, 30k, -36k at 31
TYJ 109.75/109.50ps cov 109-30, 9d 6 paid 50k

Posted on March 19, 2024 at 5:23 am by alexmanzara · Permalink
In: Eurodollar Options

Leave a Reply