Edward Bolingbroke @EddBolingbroke
Bloomberg @markets rates coverage. My opinions. bloomberg.com/authors/AS7t6j… New York, NY Joined March 2020-
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Update: Open interest +130k in Dec25 futures 😲 No stop-out, just a massive lump-on in risk😩😩
Whoosh. There goes SOFR Dec24/Dec25 spreads. Smacks of stop-outs as Fed cuts get kicked further out Volumes today 190k, more than 2x any other day 😮💨😮💨
Quick check-in: (caveat: this might be a hedge)
Today’s CFTC data shows asset managers continuing deleveraging in Treasury futures. This week saw a net long chop of 183,000 10-year note futures equivalents 🤔🤔
Hedge funds have covered net duration short by 850,000 10-year note futures equivalents over the past five-weeks ($57 million/basis point in cash risk)🔥 …hedge funds are de-leveraging 💀 Positioning @CFTC👇
JPMorgan’s Treasury client positioning survey is starting to look STRETCHED: ▫️Net longs lowest since April 2023 ▫️Neutrals most since Sept. 2011 ▫️Outright long lowest since Feb. 2023 ▫️Outright short lowest since 2012
Flows over the past week in Treasury options have seen massive demand for protection on higher 10-year yields, back through 4.5% in a just weeks Traders are bracing for another bond market selloff...
After last weeks hot CPI data, asset managers covered long positions by the biggest amount since March 2022 = Net selling of almost 260,000 10-year note futures equivalent 🏋️🏋️ Latest @CFTC positioning shifts ⬇️
Something afoot in Treasury options today. Motivated buyer of April puts, targeting 10-year yields to climb back toward 4.5% 🚀 These expire 2 days after March 20 Fed meeting 🤔⬇️
RATES POSITIONING Hedge funds bail on SOFR longs after strong data week (inc. payrolls) and Fed ⬇️ @CFTC 🤝
For the first time in a while, past few days has seen some significant SOFR option unwinds, as traders bail on plays targeting a March Fed cut, where odds of 25bp easing have slipped to just 20%…
Three charts sum up yesterday’s action in SOFR futures. Covering shorts in early bank-fear stampede, liquidating longs on Powell. Pure panic 💀
Powell on March cut: "that's probably not most the likely or what we would call the base case." Cut premium priced into March OIS going, going....
Open interest changes in Week 2 TY options (Friday expiry) since start of the year shows traders are firmly hedging higher yields now Left this week: CPI, PPI, 10s and 30s supply
🚨 Dollar swap spreads on the move again today, following weekend comments from Fed's Logan on potential for early QT slowing. Similar moves seen last week post- Fed minutes SOFR spreads 🔥🔥
Hedge funds net long in SOFR futures cut for third week in row, data up to Jan. 2 shows a latest chop of $3.5m/DV01. Peak pricing of rate cuts departed...? 🚂 Positioning latest ⬇️ @CFTC 🤝
Bunch of action in the TY weekly options today targeting Treasury yields 🆙 ➡️Week 1 exp. Friday (NFP play) and the ➡️Week 2’s n/ Friday (+ CPI, auctions) One play targeting 4.15% 10-Year by Friday close 🫰 Hawt payrolls hedging 😤🔥🔥🔥 @TheTerminal got some deets ⬇️
Open interest has dropped in 10 of past 12 sessions in US 2-year note futures‼️ …calling last orders on front-end Treasury shorts🍻💀🪦
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Jerome Powell when he finally announces his first rate cut
A “quiet bull structure” on Treasury options that was recommended Citigroup is a big win so far for anyone who took the bet trib.al/qjQ6vs6
@EddBolingbroke Hey Ed, this cretin is impersonating you. I have reported it.
STIR futures and options are a weird market but if you really want to visit them here’s who you wanna follow: @PntOptions @SirOfFinance @EddBolingbroke @686Prism (because the best way to understand a topic is to shitpost about it) Probably missing a few but these guys are a…
@EddBolingbroke @BlacklionCTA see the most actives tab here @BlacklionCTA cmegroup.com/tools-informat…
Always one of my favorite charts...
For the first time in a while, past few days has seen some significant SOFR option unwinds, as traders bail on plays targeting a March Fed cut, where odds of 25bp easing have slipped to just 20%…
Seeing it this week in rates again
The exacerbated moves due to overzealous positioning/herding from to systematic players etc are pushing prices to levels that make everyone constantly question their own positioning and narratives
Big thanks to @kevinmuir and @TheMarketHuddle crew for having me on. Apologies for my rambling, hopefully there are some gems amid the turds I dropped but either way, I had fun!
This week @PatrickCeresna and @kevinmuir welcome bond portfolio wizz, Efficient Market Hype @EffMktHype. Kev and Efficient have a long-form discussion about interest rates, differences between hard and soft data, and why he see’s a violently rangebound market ahead in 2024
The composition of open interest in Treasury futures has seen a notable shift in the last month, with strong inflows across longer-dated contracts, led by 30Y (US), countering compressed positions at the front-end, primarily 2Y (TU).
A massive bearish options trade is betting on a Treasury rout after Friday's jobs data — targeting the 10-year at 4.15% bloomberg.com/news/articles/…
Open-interest data shows positions continue to be added across long-end of the curve while traders have been aggressively cutting risk in the front-end since the start of the
@EddBolingbroke Bro - you gotta announce the new profile pic lol. Sitting here saying out loud “who the fuck is this” 😂