Trial now
OPTIONS

Expiries for Oct21 NY cut 1000ET (Source DTCC)

Sign up now for free access to this content.

Please enter your details below and select your areas of interest.

Decent overall trade volume by Fri's close with TYZ1>1.6M, as markets continue to price in a taper annc for the November FOMC. Meanwhile, support for bonds evident since Wed's policy annc evaporated, yield curves rebounding: 5s30s nearly 10bps off late Wed's lows as it tapped 103.145bp high Friday.
  • Limited react to Aug new home sales +1.5% to 0.740M SAAR; July new home sale up-revised to 0.729M SAAR. Major focus on Fri October 8 Sep employ data two weeks from now as a prerequisite for Nov FOMC taper annc.
  • Session headlines from KC Fed George did not covering new ground, but reiterated tapering asset purchases sooner rather than later as better, Bbg:
    • HAVE LONG WAY TO GO, STIMULUS FROM OUR POLICY TO LINGER
    • STARTING TAPER PROCESS IS IMPORTANT, NEED FLEXIBILITY
  • With month end fast approaching, next week's Tsy auctions jammed into the first half of the week: $82B total 13- and 26W bills Monday in addition to $60B 2Y and $61B 5Y notes on Monday.
  • Incoming supply generated some pre-auction short sets, while October Tsy serial options expiry generated two-way hedging as 10s and 30s close to pinning strikes in USV 161 and TYV 132 strikes.
  • The 2-Yr yield is up 1.3bps at 0.2736%, 5-Yr is up 0.7bps at 0.955%, 10-Yr is up 2.8bps at 1.4578%, and 30-Yr is up 4.6bps at 1.9854%.