Rates more ‘normal’ but bids in BTC and prec metals signal trepidation
April 11, 2022
–Another slight new low in SFRU3/U4 at -153.5, down 1 on the day (9530.5/9684.0). TYM3 settled -9 from Friday’s settle at 115-165, but is regaining part of that small loss today, trading 115-22+.
–FHLB only issued $37 billion in debt in the last week a March, hailed as a sign the banking crisis is abating ($304 billion issued 2 weeks earlier). On the other hand, BKX (banking index) is trading sideways at 81, having lost 25% of its value since the beginning of March.
–Implied vol coming out of the front end as forward easing prospects are shaved. Examples: On April 5 last week, SFRZ3 settled 9602 with 9600^ 123.5 and SFRH4 settled 9647.5 with 9650^ 139.0. Yesterday SFRZ3 settled 9567.5 and the 9562.5^ was 108, while H4 settled 9614 and the straddle was 128.0. Option markets have also tightened in terms of bid/ask spreads. Perhaps everything is starting to get a bit more normal? Not so fast…bitcoin at a new high over 30k. Gold (GCM3) is 2019 this morning, moving towards last week’s high, and silver is 25.17 (SIK3) testing new highs for the move.
–Three year auction today, followed by 10s, 30s, Wednesday and Thursday. CPI and Fed minutes tomorrow.
