Treasuries Signal Limited Price Action Into Low-Stakes Payrolls
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
To de-activate this alert, click here
To modify this alert, click here
UUID: 7947283
(Bloomberg) -- The U.S. rates options market is pricing a 1-day straddle on 10-year yields with a breakeven of about 4bps, one of the lowest payroll expectations this year, given the limited outcomes which would impact near term Fed pricing.
- Beyond a much sharper-than-expected rise in hourly earnings, stakes will be higher at Aug. 24-26 Jackson Hole summit for signals on policy shifts which may see systematic vol sellers scale back this month, with seasonality seeing upside risk to vol
- Short-dated implied vols typically rise in August with USD 1m10y seen increasing 0.38bp/day on average over the last five years; see seasonality here
- This seasonality dynamic is likely due to low summer liquidity coupled with annual August Jackson Hole summit
- NOTE: Tanvir Sandhu is an interest-rate and derivatives strategist who writes for Bloomberg. The observations he makes are his own and are not intended as investment advice
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
To de-activate this alert, click here
To modify this alert, click here
UUID: 7947283