Yen falls
April 19, 2022
–Light volume associated with Easter Monday. Yields pushed to new highs with tens +5.6 bps to 2.86%, and 2/10 also edged to a recent high at 40.4, up 3.5 on the day. Buyer of about 20k FVM 116.5c for 3 to 3.5, settled 3 vs 113-06 (strike is over 60 bps away; new position).
–Implied vol edged a bit lower as we go into May treasury option expiration, though still pumped.
–Bullard brought up the prospect of a 75 bp hike. The last time the Fed hiked by 75 was November 1994, from 4.75 to 5.50%. In any case, July FF settled unch’d at 9867.5 or 1.325% vs the current Fed Effective of 33 bps. I.e. the market is set on the idea of two 50 bps hikes in May and June; it’s priced already.
–Yen continues to make new lows. $/yen from around 115 in the beginning of March to 127 yesterday and 128.30 this morning. TY and US also at new lows; 119-135 vs 119-205s and 139-21 vs 140-06s.
–Housing Starts today for March, expected a bit lower as mortgage rates begin to bite. Evans speaks at 11:00.
https://www.bankrate.com/banking/federal-reserve/history-of-federal-funds-rate/#2011
