Financial market analysis prices and volatility

Find weekly our studies and decryptions on the evolution of prices and volatility of bond markets, foreign exchange and equity indices.

Update : 05/23/2022 - 04:20 am GMT
Memento
US US Bond Market
Charts
A US bond market that continues to pause with the general decline in volatility and yields in the middle and end of the curve. In the maturity scale of the curve, the magnitude of the decline in yields was gradual with the 2-year remaining inert and the 10-year which had the speed bonus for its variation. The effects of this movement have flattened the curve and revived the inversions between the maturities in the middle of the curve as well as the spreads against the 10 years, only the 10 vs 2 years has not inverted but has stabilized. For the time being, the slight easing in yields is not expected to be reversed and the faster decline in the volatility of the middle of the curve compared to the long end should contribute to accentuating the reversals.
On the short rate front, from our point of view, the T-Bills are currently positioned for an upcoming 25 bp rate increase. Note the very high volatility of the 1-month.
EUEuropean bond market
Charts
A European bond market with high overall volatility that is stagnating and yield curves that are flattening, the fear of sustained inflation is taking hold in rates in a more pronounced way for German bonds. Another major fact is the generalized rise in yields of the Italian curve compared to the main EU markets. Is Italy's dollar debt the only cause of this rise ?
The 10-year spreads against the GER have increased slightly, resuming their underlying trend.
Another fact is that in recent weeks there has been an increase in the number of statements made by various European officials and, in the case of France, by the governor of the BdF about the need to raise rates in the near future, which looks like a perfectly orchestrated communication operation. It is obvious to all that the rise in inflation in Europe, which is essentially energy and cereal-based, will be resolved by a rate increase in July ..... humour ! It is obvious that the rise in US rates is pulling the dollar up against the euro, leaving only a small choice for our vegetables leaders and central bankers who in 20 years have not been able to internationalize the euro in trade.
EURUSDEURUSD parity
Charts

Basically, the EURUSD parity is a victim of a higher access cost and more generally of a lack of dollars. The FED has again issued a dollar swap line to the ECB, maturing on Friday.

WorldEquity Indices
Charts

Stock market indices, particularly in the US, remain bearish, with very high volatility for the SP500.

decoUS 10 year government at 2.788

US 10 year government

Buyer PressureSeller Pressure

fundamental trend : Technical recovery

The predominant buying pressure progresses at a constant speed, the selling pressure increases by accelerating its speed.

For this week, the 10 year US should break its support level 2.719 / 2.706 to find a floor on the level 2.614 / 2.603. Its bullish movements should be limited to its resistance level 2.921 / 2.936.

Resistances 2.799 2.810 2.820 2.861 2.884 2.901 2.913 2.921 2.936 2.943 2.980 3.010 3.035 3.040 3.072 3.081 3.093 3.100 3.113 3.136 3.169 3.180 3.208
Supports 2.753 2.742 2.733 2.719 2.706 2.690 2.678 2.662 2.643 2.624 2.614 2.603 2.576 2.554 2.536 2.524 2.510 2.499 2.489 2.460 2.442 2.420 2.403
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.107 Weekly 0.216
Max. weekly range * 2.572 3.004

* Anticipated

UST BOND CHARTS

decoGerman 10 year government at 0.941

German 10 year government

Buyer PressureSeller Pressure

fundamental trend : Technical recovery

The predominant buying pressure is increasing at a reduced speed, the selling pressure is increasing at a steady pace.

For this week, the 10 year German should break its support level of 0.884 / 0.866 to find a floor at 0.808 / 0.795. Its bullish movements should be limited to its resistance level 1.091 / 1.112.

Resistances 0.949 0.960 0.971 0.990 1.023 1.059 1.068 1.091 1.113 1.127 1.136 1.153 1.169 1.184 1.193 1.200
Supports 0.924 0.916 0.891 0.884 0.866 0.859 0.849 0.834 0.822 0.808 0.795 0.784 0.774 0.762 0.750 0.742
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.092 Weekly 0.187
Max. weekly range * 0.754 1.128

* Anticipated

GER BOND CHARTS
  • SPREAD BOND vs BUND 10YPressure CHARTS

decoFrench 10 year government at 1.469

French 10 year government

Buyer PressureSeller Pressure

fundamental trend : Bullish

The predominant buying pressure is increasing at a reduced speed, the selling pressure is increasing at a steady pace.

For this week, the 10 year French should break its support level of 1.407 / 1.397 to find a floor at 1.354 / 1.345. Its bullish movements should be limited to its resistance level 1.621 / 1.648.

Resistances 1.490 1.499 1.507 1.533 1.552 1.572 1.584 1.621 1.648 1.659 1.675 1.683 1.693 1.712 1.733 1.754 1.788
Supports 1.469 1.458 1.443 1.426 1.407 1.397 1.383 1.354 1.345 1.338 1.324 1.309 1.292 1.254 1.241 1.217 1.203
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.097 Weekly 0.186
Max. weekly range * 1.283 1.655

* Anticipated

FR BOND CHARTS
  • SPREAD OAT vs BUND 10YPressure CHARTS

decoEURUSD at 1.0561

Euro vs Dollar

Buyer PressureSeller Pressure

fundamental trend : Bearish

The buying pressure decreases at a sustained speed, the predominant selling pressure decreases at a reduced speed.

For this week, the single currency should break its resistance level of 1.0613 / 1.0635 to test the level of 1.0687 / 1.0695. Its bearish movements should be limited to its support resistance level 1.0483 / 1.0465.

Resistances 1.0580 1.0596 1.0613 1.0637 1.0650 1.0679 1.0687 1.0695 1.0706 1.0726 1.0759 1.0766
Supports 1.0560 1.0537 1.0525 1.0518 1.0496 1.0483 1.0465 1.0424 1.0414 1.0404 1.0379
Volatility HV * 21 D. 252 D. LTV
Average range * Day 0.0092 Weekly 0.0195
Max. weekly range * 1.0386 1.0756
* Anticipated

decoSP500 at 3901

SP500 Index

Buyer PressureSeller Pressure

fundamental trend : Consolidation

The buying pressure declines by accelerating its speed, the predominant selling pressure stagnates.

For this week, the index should test its support level at 3783. Its bullish movements should be limited to its resistance level 4015 / 4026.

Resistances 3908 3915 3929 3936 3950 3958 3976 3983 3996 4010 4015 4026
Supports 3901 3890 3878 3870 3860 3853 3843 3836 3826 3806 3783
Volatility HV * 21 D. 252 D. LTV
Average range * Day 96 Pts Weekly 220 Pts
Max. weekly range * 3681 4121
* Anticipated
IMPLIED VOLATILITY SP500 OPTIONS

Variation of volatility centered on 1 week

SPX 06/17/2022 07/15/2022 SP P/C
IV 26.33 (+0.10) 25.64 (+0.88)
CALL 26.90 (+0.97) 26.36 (+0.75)
PUT 25.76 (-0.76) 24.91 (-0.58)
SP P/C - 1.14 (-1.74) - 1.45 (-1.33)
SPY 06/17/2022 07/15/2022 SP P/C
IV 27.60 (+0.57) 25.78 (+0.04)
CALL 27.15 (+1.08) 25.59 (+0.41)
PUT 28.06 (+0.07) 25.96 (-0.32)
SP P/C + 0.90 (-1.00) + 0.37 (-0.74)
Rates option
T-BILL 3M vs 1M

As every week, the operations related to the weekend Theta are expected to exert bullish pressure on Monday and bearish pressure on Friday on the implied volatility.
VIX INDEX at 29.43
  • Pressure
  • VIX - HV
VIX HV SP500 & UST Weekly - Indicators AB
VIX HV SP500 & UST Daily - Indicators AB
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