Bond rally nearing an end?
- Thread starter gharghur2
- Start date
got that. on my IB it shows tyx = 47.18 (so i assume 4.718) and tnx = 45.97 (4.597).
now i am assuming he meant he is comparing the 30 yr futures price yield against the indexes you are referring to. I assume you'd have to calculate the yield from the futures price to properly compare it to those indexes ?
ah.
Not so sure about that thin volume holiday statement. 10yr futures traded nearly 1.5 million contracts on the day, far from thin, in fact that is enormous flow. Much of this flow was two-way. In my opinion this week we saw quite a few fast money accounts get caught long on the FOMC statement Tuesday afternoon. Downside was over-exaggerated as those guys puked on the strong retail sales number on Wednesday. On the break most of Wednesday and then Thursday came the dip buyers. We are talking the BIG, HUGE long-term accounts that like to act when it looks like hell is breaking loose. This includes PIMCO, WAMCO, Japanese funds, People's Bank of China, etc. A few ways to tell how they were active: (1) belly of the curve was outperforming all week on the downside (that means 5yr and 10yr were very well BID on all the cash butterflies vs. the wings) and typically that is where those accounts are active (2) there was a well-known Asian account selling CBOT 5yr option puts yesterday afternoon (essentially buying the dip) about 40,000 contracts. After that happened and we had our initial short covering for anyone that sold at the bottom of the range we just ran out of steam. A few funds paid up at the highs and got locals size short, when real money never came in (and started selling the Eurex bund in MONSTER size) is just became very messy on the downside. Not to mention mortgage hedging accounts such as Wells Fargo rolled about 75,000+ calls DOWN to the March 109 strike, which creates heavy resistance when they don't roll back up as we trade back to 109. Only my opinion, welcome to attack it.
Surdo,
You're giving away our secrets.
Beware, the trader's guild will be notified!
JP
L
Lance Carson
NO mention of heavy volume in any of these reports, someone must telling the truth ( or B.S. !)
The Bond Report-Alaron Research Team:
Bond traders had a hard time picking a direction in today's trade. This morning's benign inflation data sparked an impressive rally, but the excitement quickly faded...leaving most of the Treasury complex near unchanged by the close.
The November CPI was flat on the month, which was a little tamer than what analysts had been expecting. The initial reaction was an assumption that the inflation peak has passed and the Fed will be easing rates before it thinks of tightening again. By mid-day, some floor brokers were admitting that some of the day's bid was coming from short covering, but noted that there were some real buyers stepping in. However, holiday volume worked against the market leaving many local floor traders frustrated at the day's action.
The markets are thin...maybe the sidelines are the best place to be for now.
MARKET ANALYSIS: Bond Market Update(Briefing.com)
Head Fake Trade: The market swung like a pendulum today, taking the 10-yr yield for a nearly 11 basis point range & the 2's carved out about 12 (in 1 week that saw 14.4 & 16.9bps respectively). The huge early rally shot out of the flat CPI report, but the run-up was on air & helped along by some painful short coverage. Oops, could not be long for long as the market meandered back to unchanged & chose to end the session there. The late session rally did not happen as positions had gotten churned from mid-day on & stuff dried up. The holiday conditions are upon the market & whipsaw action will punctuate long, long, long days of stagnation.
NEW YORK, Dec 15 (Reuters)-TREASURIES-Bonds flat, lose gains from tame inflation
Dealers said the mixed tone of the week's data left many traders cautious about putting too much weight on one set of figures, especially since the market had largely factored in a slower economy that would eventually bring rate cuts.
"We got really good inflation news and the market failed to hold the gains and I think it's just a fact of where yields are," said Bill Hornbarger, chief fixed-income strategist at A.G. Edwards & Sons in St. Louis.
U.S. rate futures were also hit in the profit-taking wave. After rallying in the wake of the data to factor in about a 28 percent chance of a Fed rate cut for the end of March, up from 10 percent prior to the day's data, they eased back to price in just a 12 percent chance.
"I thought it traded up way too much after that (inflation) number and we've just totally reversed it," said a trader at a primary dealer in New York.
"Unless it's bad, inflation is not the story. It's growth and growth has been relatively strong in the last few numbers," the trader said.
However, euphoria in the bond market, which generally welcomes soft inflation, was tempered by the fact that annual price growth is still above the Fed's perceived comfort zone of one to two percent
The Bond Report-Alaron Research Team:
Bond traders had a hard time picking a direction in today's trade. This morning's benign inflation data sparked an impressive rally, but the excitement quickly faded...leaving most of the Treasury complex near unchanged by the close.
The November CPI was flat on the month, which was a little tamer than what analysts had been expecting. The initial reaction was an assumption that the inflation peak has passed and the Fed will be easing rates before it thinks of tightening again. By mid-day, some floor brokers were admitting that some of the day's bid was coming from short covering, but noted that there were some real buyers stepping in. However, holiday volume worked against the market leaving many local floor traders frustrated at the day's action.
The markets are thin...maybe the sidelines are the best place to be for now.
MARKET ANALYSIS: Bond Market Update(Briefing.com)
Head Fake Trade: The market swung like a pendulum today, taking the 10-yr yield for a nearly 11 basis point range & the 2's carved out about 12 (in 1 week that saw 14.4 & 16.9bps respectively). The huge early rally shot out of the flat CPI report, but the run-up was on air & helped along by some painful short coverage. Oops, could not be long for long as the market meandered back to unchanged & chose to end the session there. The late session rally did not happen as positions had gotten churned from mid-day on & stuff dried up. The holiday conditions are upon the market & whipsaw action will punctuate long, long, long days of stagnation.
NEW YORK, Dec 15 (Reuters)-TREASURIES-Bonds flat, lose gains from tame inflation
Dealers said the mixed tone of the week's data left many traders cautious about putting too much weight on one set of figures, especially since the market had largely factored in a slower economy that would eventually bring rate cuts.
"We got really good inflation news and the market failed to hold the gains and I think it's just a fact of where yields are," said Bill Hornbarger, chief fixed-income strategist at A.G. Edwards & Sons in St. Louis.
U.S. rate futures were also hit in the profit-taking wave. After rallying in the wake of the data to factor in about a 28 percent chance of a Fed rate cut for the end of March, up from 10 percent prior to the day's data, they eased back to price in just a 12 percent chance.
"I thought it traded up way too much after that (inflation) number and we've just totally reversed it," said a trader at a primary dealer in New York.
"Unless it's bad, inflation is not the story. It's growth and growth has been relatively strong in the last few numbers," the trader said.
However, euphoria in the bond market, which generally welcomes soft inflation, was tempered by the fact that annual price growth is still above the Fed's perceived comfort zone of one to two percent
Volume was heavy as reported by ICAP on cash, I think something like 200 billion traded and futures in all contracts were heavy volume. The 10yr was still trading good size into the afternoon, probably 500,000 contracts from Noon onward. 1.5 million contracts in the 10yr alone is a HUGE day (average is normally around 700,000 and this time of the year usually only 500,000). I really wouldn't put too much stock into ANY of those reports you listed. They just give typical reasons around this time of the year when they have no clue what is actually happening in the markets. Yesterday was a very heavy volume day with two-way flows and very poor price action for bulls.