Bond rally nearing an end?

3/2 10:00 Federal Reserve Gov. Mark Olson speaks on the challenges facing banks in areas affected by Hurricanes Katrina and Rita at a conference in New Orleans.

3/3 11:15 U.S. Treasury Secretary John Snow delivers remarks on the economy to the Stanford Institute Economic Policy Research Economic Summit at Stanford University.
12:30 Federal Reserve Vice Chair Roger Ferguson speaks on the economic outlook at Howard University in Washington.

3/7 17:45 Chicago Federal Reserve Bank President Michael Moskow to speak at the University of Chicago's Graduate School of Business, in Chicago.

****3/8 12:00 Federal Reserve Chairman Ben Bernanke to address general session of the Independent Community Bankers of America, in Las Vegas, Nevada. ****
 
I would be careful of this sell-off in the long end. It is my understanding that corporate supply will be picking up in March (this would be longer term borrowing). Normally the rate lock hedging would be done in swaps, but due to the inversion swap spreads may widen, so better to use treasuries. Obviously liquidity is trickier in treasuries, and what looks like a steepening move is just hedging. When the rate locks come off, watch out for big time short covering!
 
Quote from Surdo:

3/2 10:00 Federal Reserve Gov. Mark Olson speaks on the challenges facing banks in areas affected by Hurricanes Katrina and Rita at a conference in New Orleans.

3/3 11:15 U.S. Treasury Secretary John Snow delivers remarks on the economy to the Stanford Institute Economic Policy Research Economic Summit at Stanford University.
12:30 Federal Reserve Vice Chair Roger Ferguson speaks on the economic outlook at Howard University in Washington.

3/7 17:45 Chicago Federal Reserve Bank President Michael Moskow to speak at the University of Chicago's Graduate School of Business, in Chicago.

****3/8 12:00 Federal Reserve Chairman Ben Bernanke to address general session of the Independent Community Bankers of America, in Las Vegas, Nevada. ****
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go surdo! :)
 
Quote from JohnL111:

I would be careful of this sell-off in the long end. It is my understanding that corporate supply will be picking up in March (this would be longer term borrowing). Normally the rate lock hedging would be done in swaps, but due to the inversion swap spreads may widen, so better to use treasuries. Obviously liquidity is trickier in treasuries, and what looks like a steepening move is just hedging. When the rate locks come off, watch out for big time short covering!
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and I thought the stock market was difficult
 
To give an idea of how nothing is priced into interest rate volatility look at April options, which still have a little less than a month to expiration. One can buy the Ten-year April 106-109 strangle for only 8 ticks, and probably will be able to get it cheaper in the coming weeks. Thus, for the whole month of March, the market has priced in nothing that may move the tens more than a point and a half. Interesting note in the ten year PIMCO (who in the March 107-111 strangle had a position of short about 120,000) has not even done half that in the June strangles. Maybe this is saying something is on the horizon and they are worried about selling ultra-low volatility.
 
Quote from mcurto:

To give an idea of how nothing is priced into interest rate volatility look at April options, which still have a little less than a month to expiration. One can buy the Ten-year April 106-109 strangle for only 8 ticks, and probably will be able to get it cheaper in the coming weeks. Thus, for the whole month of March, the market has priced in nothing that may move the tens more than a point and a half. Interesting note in the ten year PIMCO (who in the March 107-111 strangle had a position of short about 120,000) has not even done half that in the June strangles. Maybe this is saying something is on the horizon and they are worried about selling ultra-low volatility.
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Mcurto
Looking at a three year chart for the 10yr: february was the most tranquil month in the past three years. You know what that means...
 
Great thread.

There is no volatility in Euro$'s either. The Fed has become so transparent, that the market just sits and waits for surprising economic releases or surprising Fed-speak.

Other then selliing vol, I don't know how anyone can make a living trading Euro$'s anymore.
 
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