2/24 Bond Market Summary

24 Feb

Today was a mixed bag in terms of spreads, even given the price volatility that we’ve seen especially the last week with the Middle East situation. Today’s 7Y auction comments are here, however that took a back seat to late day rumors that a certain individual had been shot in Libya.

Here’s the closing snapshot:

Symbol LAST PREV NETCHG
US2Y 0.74 0.756 -0.016
US5Y 2.2 2.178 0.022
US7Y 2.85 2.875 -0.025
US10Y 3.45 3.487 -0.037
US30Y 4.54 4.593 -0.053
Spreads
US25 146 142.200 3.800
US210 271 273.100 -2.100
US230 380 383.700 -3.700
US510 125 130.900 -5.900
US530 234 241.500 -7.500
US1030 109 110.600 -1.600
US27 211 211.900 -0.900
US57 65 69.700 -4.700
US710 60 61.200 -1.200
US730 169 171.800 -2.800
Butterflies
US2530 -88 -99.300 11.300
US21030 162 162.500 -0.500
US257 81 72.500 8.500
US2710 151 150.700 0.300
US2730 42 40.100 1.900
US5710 5 8.500 -3.500
US5730 -104 -102.100 -1.900

The only spread to widen today was the 2s5, while the most flattening was the belly vs. the long end (5s30). Selected butterfly spreads also saw “elevated” action, mostly dealing with the wings vs. the belly of the curve. The 2s5s30 fly clearly shows this, widening to -88 from -99.30. Also the short end relative to the midcurve was notably wider, 2s5s7 to 81 from 72.5 previously.

Short end yield volatility has been falling since reaching 114 on 2/9/2011 (2Y). Here’s a chart with 10D HV (yields) for the past few years.

(Click on image for full size view)

 

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