First and in addition to what was noted earlier of what did / didn’t happen while we slept, some words from best in the biz,
… Overnight Flows
Treasuries held a narrow range overnight as monetary policy expectations continue to be recalibrated. Overnight volumes were near the norms with cash trading at 97% of the 10-day moving-average. 5s were the most active issue, taking a 35% marketshare while 10s were a distant second at 28%. 2s and 3s combined to take 23% at 13% and 10%, respectively. 7s managed just 8%, 20s took 2% and 30s were an uninspired 4%. We saw selling in 10s and buying in 7s.
And since it was that I offered visual of 5yy— aka BELLY — and best in biz had chart of the 2s5s10s ‘fly, well, this as of late yest afternoon for all the relative value ‘istas,
This was NOT THE chart I was referring to in the post title.
Moving on to THAT and as noted before, POSITIONS matter » (shorts building noted HEREand HERE) «, this from a large German bank just in the inbox.
The discernible divergence between futures and short-term systematic positioning since the global pandemic underscores the fact that the futures market in aggregate has grown less susceptible to short-term fluctuations in yield. On balance, futures positioning remained relatively bullish throughout 2020 and 2021. Systematic positioning, on the other hand, has adjusted to market moves more swiftly as expected.
The systematic positioning indicator shows investors, following this strategy, entered 2022 with a clean slate. In futures land, we have observed a clear build-up in shorts since October last year, with the aggregate positioning level little changed despite the rally into year end. All in all, this suggests further room to build short duration bets as systematic players catch up.
Aggregated futures positioning has been short since October
Not gonna argue the idea — more short selling to come — but would only add those INVESTORS I know and still talk with along with a few degenerate speculators, mostly continue to HATE the bond market, it would seem (as per model above) there was some hay put in the barn into years end…. Not sure how much more capacity there is to HATE but … as we all know, haters gonna hate. There seems to be more space for the speculators to press and the hawk talk overnight seems to be music to those ears…
