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Market Roundup: Post-Data Volume Surge Roll Related

US TSYS

Surge in Tsy volumes following midmorning data: miss for April new home sales (591k, -16.6% MoM vs. 794k exp) while S&P Global composite PMI notably softer than expected in the preliminary May release.

  • US 10Y technicals: Tsy 10s through key resistance of 120-18.5 (Apr 27 high) with TYM2 currently trading 120-20.5 (+1-02). This level represents an important resistance where a break would signal scope for a stronger retracement. Next key resistance, focus now on 120-29 (50-day EMA).
  • Amid outright buying, stop triggers and re-positioning of cooling rate hike pricing for late 2022 (Sep 50bp hike chances closer to 35-40% from appr 50% prior) heavy roll volumes (FVM/FVU>928k; TYM/TYU>780k) recorded around the same time has pushed TYM2>1.7M, FVM>1.6M.
  • As noted, yield curves bull steepened initially - have started to scale back: 2s10s at 23.734 (+1.256) vs. 28.082 high; 5s10s -.402 (+1.397) vs. +1.429 high.
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Surge in Tsy volumes following midmorning data: miss for April new home sales (591k, -16.6% MoM vs. 794k exp) while S&P Global composite PMI notably softer than expected in the preliminary May release.

  • US 10Y technicals: Tsy 10s through key resistance of 120-18.5 (Apr 27 high) with TYM2 currently trading 120-20.5 (+1-02). This level represents an important resistance where a break would signal scope for a stronger retracement. Next key resistance, focus now on 120-29 (50-day EMA).
  • Amid outright buying, stop triggers and re-positioning of cooling rate hike pricing for late 2022 (Sep 50bp hike chances closer to 35-40% from appr 50% prior) heavy roll volumes (FVM/FVU>928k; TYM/TYU>780k) recorded around the same time has pushed TYM2>1.7M, FVM>1.6M.
  • As noted, yield curves bull steepened initially - have started to scale back: 2s10s at 23.734 (+1.256) vs. 28.082 high; 5s10s -.402 (+1.397) vs. +1.429 high.