Rates

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Rates had a single story. The 1-3y Treasury ETF deepened to -1.0% on the month (from -0.7%), its biggest move since April 2023.

4.6× its usual move

The 1-3y Treasury ETF deepened to -1.0% on the month (from -0.7%), its biggest move since April 2023. The 7-10y Treasury ETF moved from -2.1% to -2.8%.

How much term premium is in long-term yields?

FREDunavailable

1.4× its usual move

MOVE moved from 82 to 76. Rate realized vol moved from +68.7% to +68.2%.

How volatile is the Treasury market?

Cboeunavailable

1.3× its usual move

ETF flows went from -0.75 to 0.83, its biggest move since September 3.

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. 2-year Treasury yield moved from 4.56% to 4.67%.

What shape is the Treasury curve?

FREDunavailable

Descriptive research, not investment advice