Update : 04/15/2024 - 11:05 am GMT
US Bond Market
European bond market
EURUSD parity
Equity Indices
NOTE :
We apologize for the late posting of this bulletin. Technical issues have slowed us down, please excuse us. Some changes have started in the rates section. We have begun a kind of spring cleaning by removing certain subcategories and modifying the visual aspect of some image files. The regular visitors will notice which ones, while the others will discover them. We will continue to regularly modify and modernize this section.
Next week, the website will be updated as usual, except for this page, which will only be updated on the 28 april
Memento
US Bond Market
The curve of the American bond market has flattened, with a more pronounced increase in median and long maturities. For the short part, concerning Bills, no significant movement is to be noted, except for the 1-month, whose evolution remains to be followed. The 2-year rate has caught up with its delay by adjusting to a longer status quo of key interest rates. For the median and long maturities, the more pronounced increase in yields at 7 and 10 years has been fueled by a rise in the dollar and expectations of divergence in the evolution of monetary policies due to inflation, making the US market less attractive than that of the EU for foreign investors.
As we mentioned last week, for us, a beginning of tension beginning to emerge. The continued rise in yields, the dollar, and a negative 10-year swap spread will not help the situation. The difficulties resulting from this set of situations will increase if rates continue to rise. For the moment, no tension is palpable in the interbank market, but the constraints of this situation on dealers could have repercussions on other segments of the market, such as equity indices.
To be continued ...
3-month SOFR interest rate futures anticipate a rate cut by the second quarter of 2024, despite large positions that have been turned.
| Volatility (HV) | Trend | Historical level | Risk of violent variation | Move Index (IV) | HV - Move Ind. (IV) |
|---|---|---|---|---|---|
| Long-term | Very high | Very high | |||
| Short-term | Elevated |
The long-term volatility (HV) of UST remains at a high level and has stopped decreasing to temporarily stagnate. This inertia is due to a technical rebound in short-term volatility (HV) influenced by medium and long maturities. This week, the temporary increase in volatility (HV) of the 2-year contributed significantly to the overall rise.
In this market, the volatility bonus was observed for 5 and 10-year maturities, followed by 2 and 30-year maturities.
| SPREAD | Underlying trend | Predominant maturity | Resistances (bps) | Supports (bps) | Volatility (HV) |
|---|---|---|---|---|---|
| 10Y vs. 2Y | 10Y | -23 / -28 / -31 | -37 / -43 / -46 | ||
| 10Y vs. 3M | 10Y | -75 / -79 / -83 | -88 / - 93 / 102 |
European bond market
A European bond market significantly different from that of UST, the curves have moved little with a very slight decrease in overall rates in a less volatile environment than the US market.
The volatility (HV) of European curves overall remains at a high level and, despite a recovery movement, they continue a downward trend.
The 10-year bond spreads of the main European countries compared to that of Germany remained stable from one week to the next, with some volatility for the French.
Spreads between 10 vs. 2-year rates in Germany and France are in a recessionary configuration for the economy, while those in Italy and Spain are stagnant.
3-month Euribor interest rate futures anticipate a rate cut by the second quarter of 2024.
You will find details of the various components of European bonds below and more in the Interest Rates section.
EURUSD parity
The general volatility (HV) of the dollar and euro against a panel of several currencies remains on a downward trend, despite a slight recovery, slightly more pronounced for the dollar.
The dollar, like a tsunami, swept everything in its path, propelling in the term the DXY index to the 107.35 level, while the euro as a whole fell sharply on expectations of a faster European rate cut. The EURUSD parity, which remains weak due to the difference in interbank ratesa, has not escaped the anticipation of lower rates.
Overall, the yen has resumed its downward trend. The 152 yen mark against the dollar has been broken, awaiting the government's response through the BOJ. Operators will likely be tempted to exert more pressure on the yen.
Equity Indices
The underlying trend of the indices remains bullish, but in the short term, all indices are entering a consolidation phase, aided by an unstable geopolitical context and the constraints of certain operators, except for the HSI which continues its technical recovery movement.
Volatility ended up getting in tune with an increase across all indices. This resurgence in volatility (HV) is part of a technical recovery movement, except for the Nikkei and the Nifty.
This 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 4.526
Pression Acheteur Pression Vendeur
Fundamental trend : Bearish
The predominant buying pressure decreases slowly, the selling pressure decreases at a rapid pace.
This week, the US 10-year yield should test its support level 4.481 / 4.467 to find a floor on the level 4.401 / 4.387.
Its bullish movements should be limited to the resistance zone 4.648 / 4.660.
| Resistances | 4.527 | 4.532 | 4.547 | 4.565 | 4.575 | 4.587 | 4.608 | 4.630 | 4.648 | 4.660 | 4.670 | 4.684 | 4.690 | 4.720 | 4.751 | 4.765 | 4.777 | 4.800 | 4.812 | 4.861 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Supports | 4.510 | 4.481 | 4.467 | 4.453 | 4.442 | 4.435 | 4.423 | 4.401 | 4.387 | 4.377 | 4.366 | 4.323 | 4.303 | 4.290 | 4.273 | 4.265 | 4.255 | 4.245 | 4.234 | 4.226 |
| Volatility HV * | 21 D. | 252 D. | LTV | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average range * | Daily | 0.091 | Weekly | 0.207 | ||||||||
| Max. weekly range * | 4.319 | 4.733 | ||||||||||
* 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 2.361
Buyer PressureSeller Pressure
Fundamental trend : Bearish
The buying pressure stagnates, the predominant selling pressure increases by accelerating its speed.
This week, the German 10-year should test its support level 2.325 / 2.317 to find a floor on the level 2.238 / 2.202.
Its bullish movements should be limited to the resistance zone 2.461 / 2.471.
| Resistances | 2.363 | 2.371 | 2.383 | 2.394 | 2.404 | 2.421 | 2.461 | 2.471 | 2.499 | 2.511 | 2.533 | 2.560 | 2.573 | 2.618 | 2.626 | 2.705 | 2.727 | 2.734 | 2.743 | 2.774 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Supports | 2.355 | 2.346 | 2.337 | 2.325 | 2.317 | 2.296 | 2.276 | 2.268 | 2.262 | 2.238 | 2.202 | 2.185 | 2.174 | 2.161 | 2.148 | 2.103 | 2.089 | 2.074 | 2.054 | 2.041 |
| Volatility HV * | 21 D. | 252 D. | LTV | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average range * | Daily | 0.091 | Weekly | 0.165 | ||||||||
| Max. weekly range * | 2.196 | 2.526 | ||||||||||
* 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 2.864
| Resistances | 2.871 | 2.883 | 2.896 | 2.902 | 2.930 | 2.951 | 2.963 | 2.990 | 3.014 | 3.023 | 3.046 | 3.056 | 3.084 | 3.096 | 3.113 | 3.121 | 3.138 | 3.153 | 3.168 | 3.191 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Supports | 2.864 | 2.853 | 2.846 | 2.837 | 2.831 | 2.820 | 2.787 | 2.773 | 2.763 | 2.752 | 2.736 | 2.722 | 2.696 | 2.684 | 2.664 | 2.653 | 2.614 | 2.588 | 2.579 | 2.566 |
| Volatility HV * | 21 D. | 252 D. | LTV | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average range * | Daily | 0.074 | Weekly | 0.182 | ||||||||
| Max. weekly range * | 2.682 | 3.046 | ||||||||||
* 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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Italian 10 year government at 3.728
| Resistances | 3.738 | 3.766 | 3.785 | 3.802 | 3.845 | 3.858 | 3.876 | 3.884 | 3.891 | 3.899 | 3.920 | 3.933 | 3.944 | 3.957 | 3.965 | 3.989 | 4.005 | 4.035 | 4.162 | 4.227 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Supports | 3.718 | 3.666 | 3.642 | 3.580 | 3.544 | 3.535 | 3.522 | 3.325 | 3.266 | 3.210 | 3.132 | 3.114 | 3.057 | 3.035 | 3.022 | 3.003 | 2.967 | 2.942 | 2.863 | 2.770 |
EURUSD at 1.0643
Buyer PressureSeller Pressure
Fundamental trend : Technical recovery
The buying pressure decreases by accelerating its speed, the predominant selling pressure increases by decreasing its speed.
This week, the single currency against the dollar is expected to test its support at 1.0581 to find a floor at the level 1.0549 / 1.0537.
Its bullish movements should be limited to the resistance zone 1.0695 / 1.0725.
| Resistances | 1.0650 | 1.0679 | 1.0695 | 1.0710 | 1.0725 | 1.0737 | 1.0749 | 1.0759 | 1.0766 | 1.0772 | 1.0783 | 1.0791 | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Supports | 1.0637 | 1.0615 | 1.0581 | 1.0560 | 1.0549 | 1.0537 | 1.0515 | 1.0497 | 1.0493 | 1.0486 | 1.0481 | |||
| Volatility HV * | 21 D. | 252 D. | LTV | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average range * | Daily | 0.0080 | Weekly | 0.0182 | |||||||||
| Max. weekly range * | 1.0461 | 1.0825 | |||||||||||
| * Anticipated | |||||||||||||
SP500 at 5123
Buyer PressureSeller Pressure
Fundamental trend : Bullish
The buying pressure decreases at a steady rate, the predominant selling pressure stagnates.
This week, the index should have difficulty breaking through its support level 5108 / 5078 to find a floor on the level 5016 / 5000.
Its bullish movements should be limited to its resistance zone 5161 / 5176.
IMPLIED VOLATILITY SP500 OPTIONS
Over 1 week, variation of the centered volatility (monthly maturities)
| SPX | 05/17/2024 | 06/21/2024 | SP P/C |
|---|---|---|---|
| IV | 14.85 ( + 1.28 pts) | 14.80 ( + 0.96 pts) | |
| CALL | 14.88 ( + 1.31 pts) | 14.80 ( + 0.96 pts) | |
| PUT | 14.83 ( + 1.26 pts) | 14.79 ( + 0.96 pts) | |
| SP P/C | - 0.05 ( - 0.05 pts) | - 0.01 ( + 0.00 pts) |
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Smile May
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Smile June
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May & June
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The implied volatility centered on SPX options has moderately increased for both maturities. Compared to the VIX index, the rise in implied volatility centered on SPX and SPY options for monthly maturities has been slower than that of the index, except for the May maturity on SPY. The centered put/call volatility ratio (IV) for SPY has remained stable, close to parity for both maturities. The centered volatility (IV) of SPX calls remains lower than those of SPY, and that of puts has remained at parity.
The SPX smiles have slightly rounded, with a more pronounced increase in puts for both maturities. In May, OTM puts progressed slightly faster than the centered volatility, with a slight bonus for the most out-of-the-money. On the June maturity, compared to the centered volatility, the progression of OTM puts was less pronounced. This increase in volatility on puts for both maturities makes them historically quite expensive. Conversely, the volatility of OTM calls did not progress as rapidly as the centered volatility, making out-of-the-money calls cheaper, with a bonus for the calls OTM in June.
The regular purchase of small OTM puts only harms the seller.
VIX INDEX at 17.31
- Pressure
- VIX - HV
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HV SP500 / HV UST - Weekly
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HV SP500 / HV UST - Daily