Tuesday, 10 June 2008

Treasury Curve Steepening Bet Unwind Continues

Yesterday we reported a huge four standard deviation event in Treasury Curve Steepening Bet Blows Sky High.

There is a continuation today as the following chart courtesy of Bloomberg shows.



click on chart for sharper image

For the second day in row, yield on the 2 year treasury increased in a far larger amount than did yield in the 10 year treasury or the 30 year long bond.

Minyanville professor Bennett Sedacca had these comments today.
Why the 2's/10's Trade May Continue

An old friend of mine once told me 'Bennet, when something odd happens in the market its probably because someone is 'offsides'. This is likely what is happening in the bond market.

I absolutely, firmly believe that a Fed tightening is 100% out of the question. But that's the fundamental side. And this move feels very technical in nature to me. But technically, the trend has been broken as you can see below and we could still get flatter after a brief correction.

2's 10's Index



click on chart for sharper image

This is the worst possible development for a leveraged system. Risks are high and increasing.
Today's action is not as big as yesterdays, but the important point is there is follow through. Those betting in size that the yields are going to soar on the long end vs. the short end are being carted out in a basket.

Mike "Mish" Shedlock
http://globaleconomicanalysis.blogspot.com
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