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EUROZONE T-BILL ISSUANCE

Bill Supply for W/C May 16, 2022

GBPUSD TECHS

Downtrend Remains Intact

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Tight Tokyo Trade

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Trend Needle Pointing South

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US TSY OPTIONS

The broader option complex isn't pointing to elevated volatility in the wake of Fed Chair Powell's Jackson Hole address (scheduled for Friday) and September's FOMC meeting, with the ICE-Bank Of America MOVE index operating within the confines of the recent range.

  • Note that the most recent pullback in the index started after 27 July. A reminder that the index is based upon the weighted average vol. priced in 1-month options covering 2-, 5-, 10- & 30-Year Tsys, so the latest peak and subsequent pullback, which bottomed out in mid-August, cover the period that the Jackson Hole event became embedded in the vol. calculations.

Fig. 1: ICE-Bank Of America MOVE Index

Source: MNI - Market News/Bloomberg



MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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