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MARKET INSIGHT

Market movers: main tail risk on Russia/Ukraine headlines, supporting market vol (VIX +4.95 at 33.80), potential gap move to upside in rates if Russian invasion of Ukraine followed by NATO/US response becomes reality.

  • FOMC and Covid line items largely priced in or hedged. Short end rates already pricing in four .25bp quarterly rate hikes for 2022, additional 2-3 hikes in 2023.
  • Limited data today: Markit US Manufacturing PMI (57.7 est).
  • US Tsy $54B 2Y Note auction (91282CDV0) in addition to $111B total 13- and 26W bills.
  • Stocks weaker ahead cash open (ESH2 -72.0 at 4318.0) adding to Fri's rout after index crossed 200DMA; current bearish threat and open 4311.00, the Oct 12 low.

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