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US EURODLR OPTIONS

BLOCK, Ratio Call Calendar

US TSYS

Repo Reference Rates

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  • In addition to the elevated level of inflation, we have recently seen that different indicators measuring the level of economic activity (i.e. global manufacturing PMI) have been pricing in higher LT US bond yields.
  • This chart shows that the copper-gold ratio, which some investors view as an indicator of the global market's appetite for risky assets, is also pricing in a higher 10Y Treasury yield.
  • The US 10Y yield has strongly co-moved with the 10Y US Treasury yield over time, and periods of moderate to significantly divergence were generally followed by rapid adjustments between the two times series.
  • Is the US 10Y yield set for significant upside consolidation, or is the market pricing in more uncertainty (i.e. Covid restrictions) as we approach the winter period?

Source: Bloomberg/MNI