10Y Yields Plunge Below 1.50% As Record Short Squeeze Accelerates (Treasuries Resume Bull-Flattening Trend Ahead of 10-Year Auction)

by confoundedinterest17

(Bloomberg) — The dollar slipped and benchmark Treasury yields slipped to a one-month low as investors braced for Thursday’s U.S. inflation report that may give clues on the direction of monetary policy.

The greenback weakened against all of its nine developed-world peers. The 10-year rate traded a shade below 1.50%, at the lowest since May 7, before an auction of notes at the tenor. S&P 500 Index futures were little changed, while contracts on Nasdaq 100 rose. Bitcoin added 4%, trading above $35,000.

Do I detect a trend in the 10-year Treasury yield and 10Y-3M Treasury slope?

It is a classic short squeeze on Treasuries where short positions overwhelm long positions.

We are primarily funded by readers. Please subscribe and donate to support us!

Treasuries richer by nearly 3bp across long-end of the curve, flattening 2s10s, 5s30s by ~2bp and ~1bp on the day; 10-year yields around 1.505%, outperforming bunds and gilts by 1bp and 1.5bp

Long-end block purchase was of 905 Ultra Bond contracts, equivalent to over $300k/bp

Cboe interest rate volatility (blue line) is subsiding.

The US Dollar is declining while gold is climbing.

Stay tuned for today’s 10-year Treasury auction at 1pm and tomorrow’s inflation report.


Leave a Comment

This site uses Akismet to reduce spam. Learn how your comment data is processed.