Strong Month-End Bounce

Tsys rebounded after Thursday's histrionics (post-7Y auction buy-strike or who wants to catch falling knife when Fed not wanting to stand in way of higher yields). Or Is month-end bid an opportunity to Sell? Monday will tell.

• Yield curves bull flattening (5s30s appr 25bp off Wed's 266.5 high last seen Aug 2014) with long end outperforming heading into month-end. S&P and Nasdaq futures trading firmer (+16.0, +200.0 respe) while DJIA traded weaker: -225.0. Vix receded to around 26.5 after topping 30.80 vs. 31.16 high on Thu, off late Jan highs of 37.51.
• The week's sell-off in rates as well as equities, accelerated sharply Thursday, catching may off guard. Societe Generale strategists take on the the spike in 5Y Tsy yields (0.6113 low to 0.8617 high after the poorly received $62B 7Y note auction tailed 4bp) "seems to be challenging the Fed's 'lower for longer' mantra."
• June futures took lead quarterly while late rolls from March continued to boost volumes. Light deal-tied flow, but decent short end rate paying in 2s-5s as swap spds widened 1.5-3.5bp.
• Another HEAVY option volume session, low delta puts dominating both Eurodollar and Treasury options as accts took advantage of rebound in underlying to buy cheaper rate-hike insurance covering mid-2022 through mid-2024 sector of curve.
• The 2-Yr yield is down 2.9bps at 0.1426%, 5-Yr is down 6bps at 0.7602%, 10-Yr is down 7bps at 1.4495%, and 30-Yr is down 8.4bps at 2.1891%.