Treasury yields higher as geopolitical events fail to awaken safety fears
October 28, 2024
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–As mentioned in weekend note, Friday started with a buy of 50k TY wk1 MONDAY (today expiry) 111.75 call for 3. Likely same player who had bought 50k 111.75 put which expired Friday 44/64s in-the-money, with a settle of 111-02 in TYZ4. Gains continue this morning with TY at a new low of 110-18+ (last at 110-24). Throughout the day Friday there was heavy accumulation otm puts expiring this Friday (NFP day):
Here are the buys, all TY Nov wk1 FRI puts. These puts all expire on Nov 1, payrolls day.
+20k 109.25p 2
+15k 109.25p 3 Settled 4, open interest +37k to 44.6k
+12k 109.00p 2
+20k 109.00p 3 Settled 3, open interest +40k to 48k
+20k 108.75p 3 Settled 3, open interest +20k to 21k
–Weekend events: Israel’s military strikes avoid Iran’s energy infrastructure, so CLZ4 is at a new low for October, down around 3.50 at 68.30. LDP lost its majority in Japanese elections, so the yen is making a new low going into the BOJ meeting at the end of the week, $/yen last at 153.22.
–Front end of SOFR strip down just 1-2, reds, -3.5 with more deferred contracts -4 to -5.
–Attached chart shows U of Mich 1-yr inflation expectations, released Friday at 2.7%, pretty much in the same area it was from 2015 to the end of 2019.
–Today includes 2 & 5 year auctions, followed by 7s tomorrow.