Yields rise as longs exit

January 4, 2022

–Yields jumped and the curve bear steepened on the first trading day of 2022.  Tens rose 12.8 bps to 1.623% and the 30-yr bond finally poked back above 2%, ending at 2.012%.  As can be seen on the attached charts, tens have a lot of resistance just above 1.70%.  I also added the five-year note chart, which had similarly had an upside boundary of 92 to 94 bps before breaking out last September.  The 2/10 treasury spread made a new recent high of 84.7 bps.  On the dollar curve, reds fell 9 bps while golds plunged 15.75; the red/gold pack spread (2nd to 5th year) settled at 43.5.  The ultra bond contract settled down 4-28 at 192-08.  Almost all treasury contracts saw significant drops in open interest, so we’ll call it ‘long liquidation’ for now.  TYH lost 49k of open interest, however, there was a new buyer of 70k TYH 127p for 14 to 15.  This put settled 16 vs 129-14 and has a delta of -0.17, bringing the total OI in this put to 231k, accounting for nearly 30% of total TYH put open interest.

Posted on January 4, 2022 at 5:03 am by alexmanzara · Permalink
In: Eurodollar Options

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