Update : 09/25/2023 - 02:45 am GMT
US Bond Market
On the spread front, in the evolution of spreads, the weight of long maturities outweighs that of short maturities.
- A 10-year vs. 3-month spread with decreasing volatility (HV) and having benefited from the disruptions on 10-year bonds, should find a ceiling below the level of -99 / -88 basis points.
- A 10 vs. 2 year spread, with volatility (HV) recovering modestly, should find a ceiling at -64 basis points to return to around -71 basis points.
European bond market
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EURUSD parity
Equity Indices
Memento
US Bond Market
The US bond market continues to display an inverted yield curve that is flattening slightly due to rising mid- and long-term rates. For the short term part, after the inertia of the Fed, there has been no significant movement despite the risk of a paralysis of the administration which will not affect the debt ceiling, but only the official who signs the checks. Bill's latest one-month issue was partly subscribed to by investors accepting a yield 10 basis points below the RRP. We are far from a repeat of April, but there is nevertheless an increased need for collateral. This week, the US Treasury will fill this need for collateral and drain liquidity out of the RRP and the market by issuing a series of bonds of all maturities.
On the long maturities side, sales of 10 and 30 year securities, probably motivated by the cost of access to the dollar, remained strong, and other opportunistic operations, such as sales of futures, probably amplified the movement. The status quo on key rates and the closure of several foreign markets should ease the downward pressure on bonds. Given the level of the premium, the speed of evolution of futures T-Note could be monitored like milk on the fire !
Interest rate futures anticipate a fall in rates by the start of the second quarter of 2024.
The brief resurgence of short-term volatility (HV) does not challenge the long-term downward trend of volatility (HV), but this short-term volatility spike leads to more significant fluctuations. Short-term volatility (HV) for the 2 and 5-year maturities has stabilized, while that of longer maturities has slightly increased (bonus for the 30-year).
- A 10-year vs. 3-month spread with decreasing volatility (HV) and having benefited from the disruptions on 10-year bonds, should find a ceiling below the level of -99 / -88 basis points.
- A 10 vs. 2 year spread, with volatility (HV) recovering modestly, should find a ceiling at -64 basis points to return to around -71 basis points.
European bond market
A European bond market less volatile than the American market, with medium and long-term rates up slightly. The German and French curves, still inverted, have flattened slightly due to the more rapid rise in median and long-term rates. The rise in rates also affected the Italian curve, which remains inclined, with a more marked increase in its long-term rates.
The spreads between the 10-year and 2-year rates of the major countries (Germany, France) are in a recessionary configuration.
European rate futures anticipate a cut in key rates for the start of the second half of 2024.
The long-term volatility (HV) of the EU bond market continues to decline, while the short-term volatility temporarily stagnates. Within the EU, the decline is faster in the German bond market, followed by the French market, unlike that of Italy.
- The main EU 10-year bonds against the German 10-year bond are on an upward trend.
EURUSD parityThe euro remains weak against the dollar despite a US vs. EU monetary rate differential that continues to narrow, which perhaps justifies the alert on this parity. At the end of the week, the closure of markets in the Middle East and Asia should ease the bullish pressure on the dollar. The Yen near 150 against the dollar will continue to Polarize attention.
Equity IndicesStock indices "heavy". The liquidity drains, the next week a potential "showdown" in US, along with issues related to the dollar, will continue to exert a negative pressure on the stock markets. The brief recovery in short-term volatility (HV) will not call into question the persistent decline in long-term volatility (HV), but it does induce significant fluctuations within the indices.
Italian bondThis dashboard, offers you a quick overview of the main spreads, yield levels and volatility in the US bond market.
You will find more details on the different components of the UST in the section Rates.The US yield curve and yields level are available in the section Real time.
US 10 year government at 4.435
Pression Acheteur Pression Vendeur
Fundamental trend : Technical recovery
The predominant buying pressure decreases by accelerating its speed, the selling pressure decreases by slowing its speed.
For this week, the US 10-year should find a ceiling in its resistance zone 4.510 / 4.529 before returning towards its supports by testing the first zone of 4.366 / 4.336.
| Resistances | 4.442 | 4.450 | 4.467 | 4.480 | 4.498 | 4.510 | 4.529 | 4.547 | 4.575 | 4.587 | 4.609 | 4.630 | 4.660 | 4.670 | 4.684 | 4.690 | 4.720 | 4.751 | 4.765 | 4.775 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Supports | 4.400 | 4.366 | 4.336 | 4.322 | 4.300 | 4.272 | 4.265 | 4.245 | 4.232 | 4.204 | 4.192 | 4.170 | 4.161 | 4.132 | 4.120 | 4.112 | 4.100 | 4.089 | 4.078 | 4.049 |
| Volatility HV * | 21 D. | 252 D. | LTV | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average range * | Day | 0.086 | Weekly | 0.189 | ||||||||
| Max. weekly range * | 4.246 | 4.624 | ||||||||||
* Anticipated
This dashboard, offers you a quick overview of the main spreads, yield levels and volatility in the German bond market.
You will find more details on the different components of the German bond in the section Rates.The German curve and yields level are available in the section Real time.
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German 10 year government at 2.742
Buyer PressureSeller Pressure
Fundamental trend : Technical recovery
The predominant buying pressure declines at a regular rhythm, the selling pressure decreases by slowing its speed.
For this week, the German 10-year should find a ceiling in its resistance zone 2.784 / 2.793 before returning towards its support zones by testing the first 2.705 / 2.691.
| Resistances | 2.774 | 2.784 | 2.793 | 2.804 | 2.825 | 2.849 | 2.886 | 2.901 | 2.921 | 2.944 | 2.969 | 2.991 | 3.009 | 3.025 | 3.050 | 3.092 | 3.101 | 3.119 | 3.164 | 3.173 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Supports | 2.734 | 2.727 | 2.705 | 2.691 | 2.668 | 2.625 | 2.597 | 2.573 | 2.560 | 2.536 | 2.511 | 2.499 | 2.436 | 2.423 | 2.404 | 2.381 | 2.372 | 2.355 | 2.323 | 2.296 |
| Volatility HV * | 21 D. | 252 D. | LTV | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average range * | Day | 0.085 | Weekly | 0.147 | ||||||||
| Max. weekly range * | 2.595 | 2.889 | ||||||||||
* Anticipated
This dashboard, offers you a quick overview of the main spreads, yield levels and volatility in the French bond market.
You will find more details on the different components of the French bond in the section Rates.The French curve and yields level are available in the section Real time.
French 10 year government at 3.279
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Buyer PressureSeller Pressure
Fundamental trend : Technical recovery
The predominant buying pressure slowly decreases, the selling pressure decreases by slowing down its speed.
This week, the French 10-year should find a ceiling in its resistance zone 3.324 / 3.339 before returning towards its support zones by testing the first 3.168 / 3.153.
| Resistances | 3.280 | 3.315 | 3.324 | 3.339 | 3.353 | 3.361 | 3.374 | 3.411 | 3.420 | 3.435 | 3.469 | 3.514 | 3.523 | 3.542 | 3.553 | 3.576 | 3.604 | 3.628 | 3.644 | 3.671 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Supports | 3.257 | 3.234 | 3.215 | 3.194 | 3.172 | 3.168 | 3.153 | 3.141 | 3.138 | 3.121 | 3.113 | 3.096 | 3.084 | 3.077 | 3.056 | 3.047 | 3.029 | 3.010 | 2.958 | 2.951 |
| Volatility HV * | 21 D. | 252 D. | LTV | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average range * | Day | 0.088 | Weekly | 0.132 | ||||||||
| Max. weekly range * | 3.147 | 3.411 | ||||||||||
* Anticipated
This dashboard, offers you a quick overview of the main spreads, yield levels and volatility in the Italian bond market.
You will find more details on the different components of the Italian bond in the section Rates.The Italian curve and yields level are available in the section Real time.
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EURUSD at 1.0645
Buyer PressureSeller Pressure
Fundamental trend : Consolidation
The buying pressure decreases at a regular rhythm, the predominant selling pressure decreases by accelerating its speed.
For this week, the single currency should break its resistance level 1.0650 / 1.0667 to find a ceiling below its zone 1.0748 / 1.0759. Its bearish movements should be limited to its support zone 1.0615 / 1.0605| Resistances | 1.0650 | 1.0667 | 1.0680 | 1.0695 | 1.0710 | 1.0717 | 1.0726 | 1.0748 | 1.0759 | 1.0764 | 1.0779 | 1.0791 | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Supports | 1.0637 | 1.0615 | 1.0579 | 1.0560 | 1.0550 | 1.0544 | 1.0537 | 1.0525 | 1.0515 | 1.0497 | 1.0493 | |||
| Volatility HV * | 21 D. | 252 D. | LTV | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average range * | Day | 0.0067 | Weekly | 0.0141 | |||||||||
| Max. weekly range * | 1.0504 | 1.0786 | |||||||||||
| * Anticipated | |||||||||||||
SP500 at 4320
Buyer PressureSeller Pressure
Fundamental trend : Technical recovery
The buying pressure is declining at a sustained pace, the predominant selling pressure is stagnating.
For this week, the index should permanently break the support zone 4328 / 4316 to reach the level 4268 / 4259. The bullish movements should be limited to the resistance zone 4360 / 4366.
IMPLIED VOLATILITY SP500 OPTIONS
Over 1 week, variation of the centered volatility (monthly maturities)
| SPX | 10/20/2023 | 11/17/2023 | SP P/C |
|---|---|---|---|
| IV | 15.08 ( + 3.28 pts) | 15.16 ( + 2.91 pts) | |
| CALL | 15.09 ( + 3.41 pts) | 15.17 ( + 3.22 pts) | |
| PUT | 15.07 ( + 3.15 pts) | 15.15 ( + 2.60 pts) | |
| SP P/C | - 0.02 ( - 0.26 pts) | - 0.02 ( - 0.63 pts) |
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Smile October
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Smile November
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Smile October & November
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From one week to the next, volatility (IV) centered (SPX, SPY) increased for both maturities, with a slight advantage in terms of momentum for the October maturity (SPX, SPY). In comparison to the VIX index, the rise in volatility was more moderate for the November maturity (SPX, SPY). The put vs. call volatility spread (SPX) remains stuck to the pair for both maturities. The SPY calls continue to have a higher cost than SPX calls, unlike puts.
The October smile flattened slightly with a faster rise in centered volatility and that of OTM puts. In November, the rise in OTM puts was more modest. For OTM calls of both maturities, the rise in volatility was slower than the rise in centred volatility.
The regular purchase of very OTM puts only harms the seller.
VIX INDEX at 17.20
- Pressure
- VIX - HV
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HV SP500 / HV UST - Weekly
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HV SP500 / HV UST - Daily