Dec 20. 2 and 5 yr yields at new highs
–2year and 5y yields made new highs at 185.2 and 221.8 respectively. The ten year equaled the high of late October at 246.3. Curve steepened as 2/10 leapt nearly 5 bps to 61.1. Ten year note to TIP (inflation indexed note) made a new high of 193 bps, nearing 2%, though that particular spread doesn’t seem to have much predictive power.
–The big position in USG 153p was shaved back; open interest fell 10k to 46k (sold 152/153ps). Those puts settled 2’21 ref 151-16.
–Big trade yesterday was a buyer of EDH8 9787.5p for 0.25. Total 227k trade with open interest up half that amount. In dollars there continues to be new selling in EDU8 (rolling from EDM8 shorts). EDM8/EDU8 settled at a new high of 10.5. Back month spreads also showed glimmers of life. EDZ8/EDZ9 gained 1.5 to close 18.5. Red/gold pack spread +3.0 to 29.625.
–Stocks are bouncing on the tax bill. Bitcoin, not so much. $/yen been capped just a bit over 114 since May. Yen weaker this morning. 3m Yen Vol is about as cheap as it has been (as low as it’s been since 2014) but if upper end of recent range is broken in $/yen it should carry to 120.
Chart of 3m yen vol below
