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J.P.Morgan: Position For Narrowing In FV, UXY & WN Calendar Spreads

US TSYS
BulletMarketsFixed IncomeBond Market News

Friday saw J.P.Morgan note that they expect “FV, UXY & WN calendar spreads to narrow in the weeks ahead due to a combination of low market liquidity, elevated net commercial longs who will seek to roll before delivery month, and a significant wildcard option in the case of the WN contract. We recommend investors who are long and wish to avoid delivery to sell the calendar spread.”

  • “Sell 954 FV calendar spreads at 14.25, and sell an additional 46 FVM2 @ 112-30+. This trade uses a 1000:954 hedge ratio between front and back contracts.”
  • “Sell 1000 Ultra UXY calendar spreads at 1-06+. This trade uses a 1:1 hedge ratio between front and back contracts.”
  • “Sell 1000 WN calendar spreads at 7.5. This trade uses a 1:1 hedge ratio between front and back contracts.”
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Friday saw J.P.Morgan note that they expect “FV, UXY & WN calendar spreads to narrow in the weeks ahead due to a combination of low market liquidity, elevated net commercial longs who will seek to roll before delivery month, and a significant wildcard option in the case of the WN contract. We recommend investors who are long and wish to avoid delivery to sell the calendar spread.”

  • “Sell 954 FV calendar spreads at 14.25, and sell an additional 46 FVM2 @ 112-30+. This trade uses a 1000:954 hedge ratio between front and back contracts.”
  • “Sell 1000 Ultra UXY calendar spreads at 1-06+. This trade uses a 1:1 hedge ratio between front and back contracts.”
  • “Sell 1000 WN calendar spreads at 7.5. This trade uses a 1:1 hedge ratio between front and back contracts.”