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Post-Data Rally, Volume Spike on Roll Surge

US TSYS
BulletMarketsFixed Income
Tsy rallied following midmorning data: miss for April new home sales (591k, -16.6% MoM vs. 794k exp) and weak May Richmond Fed index: -9 was the worst reading since May 2020 and a significant miss vs +10 expected (and +14 prior). Meanwhile, S&P Global composite PMI notably softer than expected in the preliminary May release.
  • Volume surged 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) and heavy roll volumes (FVM/FVU and TYM/TYU each over 1.7M) has pushed total TYM2 volume over 3.3M, and FVM over 2.8M.
  • Bull steepening yield curves took a leg higher late: 2s10s climbed to 28.719 high; 5s10s just off inversion to +1.429 high.
  • Decent 2Y sale, Tsy futures holding firmer (curves steeper) after $47B 2Y note auction (91282CER8) stops through: 2.519% high yield vs. 2.526% WI; 2.61x bid-to-cover vs. last moth's 2.74x.
  • Similar to late last Friday, stocks staged decent late session rebound, SPX still weaker after the FI close but extending highs for the session -- while Dow components trade in the black. Latest levels: DJIA up 93.76 points (0.29%) at 31969.96; S&P E-Mini Future down 23.25 points (-0.59%) at 3947.75; Nasdaq down 239 points (-2.1%) at 11294.03

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Tsy rallied following midmorning data: miss for April new home sales (591k, -16.6% MoM vs. 794k exp) and weak May Richmond Fed index: -9 was the worst reading since May 2020 and a significant miss vs +10 expected (and +14 prior). Meanwhile, S&P Global composite PMI notably softer than expected in the preliminary May release.
  • Volume surged 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) and heavy roll volumes (FVM/FVU and TYM/TYU each over 1.7M) has pushed total TYM2 volume over 3.3M, and FVM over 2.8M.
  • Bull steepening yield curves took a leg higher late: 2s10s climbed to 28.719 high; 5s10s just off inversion to +1.429 high.
  • Decent 2Y sale, Tsy futures holding firmer (curves steeper) after $47B 2Y note auction (91282CER8) stops through: 2.519% high yield vs. 2.526% WI; 2.61x bid-to-cover vs. last moth's 2.74x.
  • Similar to late last Friday, stocks staged decent late session rebound, SPX still weaker after the FI close but extending highs for the session -- while Dow components trade in the black. Latest levels: DJIA up 93.76 points (0.29%) at 31969.96; S&P E-Mini Future down 23.25 points (-0.59%) at 3947.75; Nasdaq down 239 points (-2.1%) at 11294.03