US GOVTS-Long duration liquidations plus flattener unwinds crush the bond – IFR News
19-Dec-2017 11:08:32 AM
BOSTON, Dec 19 (IFR) – Quite decent volume both in the futures and cash
complexes this morning will lead to near 1 mn TYHs traded soon, underscoring
another big bear steepening move as tax cut passage is virtually assured.
Trader talk swirls around some big real money manager selling, long end duration
liquidation and further flattener exit flows as seen with the earlier big block
steepener buying FVs selling ultra long bond contracts. ULH ultra longs have
been leading the underperformance, though at the height of the selling cash 30s
led the way suggesting wholesale end user liquidations.
And there is no one to take the other side of the trade, skelton staffed dealer
desks just broker paper into the screens which is one reason why real money
portfolios contain more futures positions than ever. Longer yields tacking on
another hefty 6+ bps are near yield resistance/price supports for 10s at the old
high 2.47%, and for 30s first at the 100 day moving average (2.807%), 50 day
mover at 2.814%, and high Bollinger plus trend line at 2.828%. Yield support
starts at the mid Bollinger 2.761% then the 8 day mover pivot 2.752%.
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