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US TSY OPTIONS
Note that the latest jolt higher in the ICE-Bank of America MOVE Index didn’t get anywhere near challenging the early ’23 peak.
- The move was likely tempered by the general feeling that we are still near the end of the road when it comes to the current hiking cycle, even in light of the latest PCE print (despite the market rekindling full pricing of one further 25bp hike in recent times).
- On the other end of the scale, the market is now more attuned to the higher for longer Fed messaging than it was at the start of May. Still, Fed-dated OIS indicates ~40bp of cuts between current terminal rate pricing and year-end (vs. the near 100bp that was priced at one point earlier in May), which shows that the market remains willing to test the Fed’s resolve on this front, even though the degree of cuts priced has moderated in the wake of the recent run of U.S data.
- Looking ahead, broader market swings surrounding liquidity dynamics linked to expected T-Bill issuance in the coming months will provide another focal point to key into, outside of data & Fedspeak.
Fig. 1: ICE-Bank of America MOVE Inde
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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