while we slept...UST volumes anywhere between 175% and 202% of some moving avg ...
Things are delayed today due to the weather (and that I’m no longer in this type of seat). That said, here’s what I hear happened overnight, as of ~30min ago
WHILE YOU SLEPT
NEWS: Lawmakers begin early discussions about another round of Covid-19 relief for businesses WaPo
… Treasuries are mixed and the 5s30s curve is almost 2bp flatter ahead of this morning's back-back Fed buybacks in intermediate and long-end Treasuries and this afternoon's release of the December FOMC meeting Minutes. DXY is lower (-0.22%) while front WTI futures are modestly higher (+0.4%). Asian stocks were generally modestly higher though China-linked exchanges were all lower (Hang Seng China Enterprises index -2%). EU and UK share markets show slight gains while ES futures are little changed here at 7:15am. Our overnight US rates flows saw another active Asian session with two-way flows driven by real$ and credit hedgers. Overnight Treasury volume was very roughly ~175% of our low, rolling average.
Of all the charts today, these are for Davey Day Trader (trading bonds via TLT),
… As for duration, our next attachment this morning looks at the daily chart of TLT's (ch.4)- the much-talked about (this week) 20+ year Treasury ETF. We've drawn in what we expect to be pretty solid range support (~141.40) for TLT's just below here and note too in the lower panel that short-term momentum remains notably 'oversold' as prices fall closer to said range support. On the other hand, our next attachment zooms out on TLT's with a look at the weekly chart (ch.5) where medium-term/weekly momentum is now decidedly bearish- suggestive of downtrend sustainabilty. This is again the kind of signal conflict we talked about above. The rules we've long-followed dictate that one should always pay heed to the longer-term signals (remain bearish) but we equally suspect that TLT's will also respect that ~141.40 support zone. So stay bearish TLT's and clip gains, if achieved, on an approach to 141.40??
AND for some more, BMO reporting this on their morning comment
Overnight Flows
Treasuries were little changed overnight with 10s and 30s marginally outperforming. Overnight volumes were elevated with cash trading at 202% of the 10-day moving-average. 5s were the most active issue, taking a 33% marketshare while 10s were a second at 28%. 2s and 3s combined to take 20% at 11% and 9%, respectively. 7s managed 10%, 20s took 1%, and 30s were an above-average 8%. We’ve seen selling in 10s and buying in 5s.