New curve highs at quarter end
April 1, 2021
–The quarter ended with new highs in the curve. 2/10 up 0.8 to 158.3. Red/gold euro$ pack spread (2nd to 5th year) just over 182 bps. New high for peak one-yr euro$ calendar: EDH23/H24 and EDM23/M24 tied at 77.5 bps. This, as Biden announced his massive tax and spend plan for infrastructure and SPX made a new all-time high before a modest pullback into the close. Implied vol firmed significantly in back dollars, supporting the move towards higher yields and further steepening; straddles up 1.5 to 2 bps. As examples, 2EU 9800 straddle from 37 Tuesday to 38.5 yesterday. 3EZ 9812^ from 66 to 67.5. While Friday’s payroll data could change the picture, price action and the curve signal a move to still higher rates.
–Worth a note that May Corn is at a new high this morning 578. After spending Feb and March bouncing around 530 to 550, a bullish USDA grain report sparked a close above 564, with further strength today.
–Jobless Claims today expected 675k from 684k. Manufacturing ISM expected 61.5 from 60.8.
