US TSYS: Busy Data, Treasury Auction Schedule Ahead
Dec-23 11:28
- Treasuries are looking modestly lower to start the new week, Christmas markets keeping volumes light (TYH5<175k). Early close Tuesday for Christmas Eve (1315ET), Wednesday full close for Christmas (Globex re-open at 1800ET), full sessions Thursday and Friday.
- Off last week's lows, the Mar'24 10Y contract currently trades -2.5 at 108-28.5, initial technical support at 108-16+ Low Dec 19 followed by 108-12+ (1.382 proj of the Oct 1 - 14 - 16 price swing).
- The trend condition in Treasury futures remains bearish and short-term gains are considered corrective. Last week’s sell-off reinforces the current bear cycle. Current 10Y yield +.0141 at 4.5363%, curves mildly steeper with 2s10s +.766 at 21.538, 5s30s +.024 at 34.387.
- Busy data and auction schedule ahead: Building Permits, Durable/Cap Goods and Chicago Fed Nat Activity Index at 0830ET; New Home Sales and Conf. Board Consumer Confidence at 1000ET.
- Shoe-horning in the Treasury supply with five auctions today: $81B 13W & $72B 26W bills at 1000ET; $48B 52W & $65B 42D CMB auctions at 1130ET; $69B 2Y notes (91282CME8) at 1300ET.
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AUSSIE 3-YEAR TECHS: (Z4) Bearish Backdrop Building
Nov-22 22:45
- RES 3: 96.380 - High Mar 21 2023
- RES 2: 97.190 - High May 5 2023
- RES 1: 96.730/932 - High Sep 17 / 76.4% of Mar-Nov ‘23 bear leg
- PRICE: 95.920 @ 16:46 GMT Nov 21
- SUP 1: 95.760 - Low Nov 13
- SUP 2: 95.750 - Low 27 Nov ‘23
- SUP 3: 95.480 - Low Jan 11 2023 and a major support
Prices hit a fresh pullback low at 95.760 across the global rates sell-off, extending losses on the break through 96.080 support. This confirms the downside bias, with support undercutting at 95.750 below ahead of major support of 95.480. For any corrective recovery to take hold, markets need to retake the 96.00 handle on a closing basis.
US TSYS: Underperforming Global Peers In Twist Flattening Move
Nov-22 20:10
Treasuries closed Friday little changed, underperforming global peers.
- Futures traded within Thursday's ranges, with data having little lasting impact: November flash services PMI was much stronger than expected and the highest since March 2022, though soft employment and output price inflation metrics softened the impact.
- Elevated final November UMichigan survey long-term inflation expectations saw Treasuries hit the worst levels of the day, but the move reversed.
- The limited move in yields stood in contrast to pronounced gains in Europe, where weaker-than-expected PMIs renewed concern over regional growth and boosted ECB rate cut pricing. That helped boost Treasuries in overnight trade, but as noted, the US rate move subsided.
- Futures volumes remained robust (2.4M TYZ4), though again it was largely quarterly roll-related.
- The curve twist flattened on the day, and Friday's moves left 10Y yields just 2bp lower on the week.
- Latest levels: The Dec 24 T-Note future is up 5/32 at 109-21, having traded in a range of 109-16.5 to 109-26.5. 2-Yr yield is up 1.8bps at 4.3665%, 5-Yr is down 0.9bps at 4.2948%, 10-Yr is down 1.8bps at 4.4041%, and 30-Yr is down 1.1bps at 4.5906%.
- MNI's weekly US macro wrap is here (PDF).
- Next week's schedule is condensed by the Thanksgiving holiday, with highlights including FOMC Minutes (MNI Preview here - PDF) and GDP/PCE data.
OPTIONS: US Options Summary
Nov-22 19:59
Friday's US rates/bond options flow included:
- SFRZ4 95.50/95.56/95.62c fly, bought for 0.75 in 5k total.
- SFRF5 95.75/95.62/95.50p fly, bought for 3 in 5k.
- SFRM5 96.50/97.00cs, sold at 5.25 in 8k.
- SFRM5 97.00/97.50c strip vs SFRZ5 97.50c, bought the strip for flat in 5k
- SFRZ5 96.125 ^ sold at 87.5 in 500
- 2QH5 97.25/97.50cs, bought for 1.5 in 5k
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