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Bond rally nearing an end?
- Thread starter gharghur2
- Start date
5-Yr Note Auction...Tad sloppy, Light Indirect Takedown
Stone & McCarthy (Princeton) -- The 5-year note auction statistics were run-of-the-mill to sloppy.
The auction stopped at 4.622%, a tad above pre-auction stop talk that centered on 4.6175% heading into the deadline. 56.17% of bids at the high yield
were accepted. The Indirect takedown was a light 21.3%.
The bid cover came in at 2.18, relative to an average of 2.54 over the prior 12 auctions. Non-comps were light as usual $147 mln.
Stone & McCarthy (Princeton) -- The 5-year note auction statistics were run-of-the-mill to sloppy.
The auction stopped at 4.622%, a tad above pre-auction stop talk that centered on 4.6175% heading into the deadline. 56.17% of bids at the high yield
were accepted. The Indirect takedown was a light 21.3%.
The bid cover came in at 2.18, relative to an average of 2.54 over the prior 12 auctions. Non-comps were light as usual $147 mln.
No way, I wouldn't be buying volatility yet unless I could pay for the straddle decay by scalping gamma, and on a day like today it would have been tough since it was a one way street. Everyone is saying "volatility is so cheap, it can't be this cheap, might as well buy it, etc.". I am still in the camp that until there is warning of a structural change in long end rates or reason for the Asians to diversify I would continue to remain short it. On the other hand, if one is short volatility I would continue to trim down on the position size (the Merrill MOVE index is at 8-year lows and hasn't been there since before LTCM) because every day that we bleed lower in volatility it will make the blowup that much worse. If you have deep pockets maybe buy some September (or even December) volatility in the 30yr, but it is incredibly illiquid so good luck getting out once locals know your position.