US 2-year yields are back up 22 bps to 4.24% today.They touched a low of 3.83% yesterday and there are some major clues that was a squeeze.1) Yields i
US 2-year yields are back up 22 bps to 4.24% today.
They touched a low of 3.83% yesterday and there are some major clues that was a squeeze.
1) Yields initially hit a low into the US close, which suggests a margin call
2) Europe was hit with this same at the open
3)
JPM calculated CTAs had 300B worth of rates shorts across USTs, Bunds and Gilts &covered 2/3 “the past 3 days has seen the greatest short covering in rates since the pandemic or March ’20,” JPM said. They noted that 100B could still be covered but that may now have taken place.
That move makes me wonder how much position squaring was part of the landscape elsewhere. I don’t think leveraged traders were particularly long stocks on the whole, so that wasn’t too bad. Oil longs were starting to get crowded and that might explain why crude was beaten up so much worse than copper. I don’t think gold and bitcoin were a squeeze but I suppose it’s impossible.
In FX, cable shorts likely piled in on the break of 1.19 last week and that could help explain why it was so strong.
In any case, we have fundamental news coming up in 15 minutes with US CPI. Hold onto your hats.
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