Rates

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A calm day in rates. Every group stayed inside its usual pace. The nearest mover was the 1-3y Treasury ETF realized vol, from +1.7% to +1.5%. Eighth of eight asset classes today. Term premium & duration moved at 2.1× its usual pace, flows & positioning at 2.0×, and fiscal & stock-bond context at 0.0×.

2.1× its usual move

The 1-3y Treasury ETF realized vol moved from +1.7% to +1.5%. Long-Treasury ETF realized vol moved from +9.2% to +8.3%.

How much term premium is in long-term yields?

FREDunavailable

2.0× its usual move

ETF flows went from -1.11 to -0.84. TLT ETF flows went from -1.54 to -0.27.

Where is the crowd positioned?

Yahoo Financeunavailable

Quiet (0.0×)

Net interest to GDP held at 3.15% at the latest reading. That is its highest level in about six months.

What is the fiscal and cross-asset backdrop for bonds?

Yahoo Financeunavailable

No fresh reading in this group. 30-year Treasury yield moved from +22.0% to +19.0%.

What shape is the Treasury curve?

FREDunavailable

No fresh reading in this group. The 10s-3mo curve moved from 0.71% to 0.74%.

Is the curve steepening or flattening?

FREDunavailable