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.
