Ultimately Flat After Options-Driven Volatility
Ultimately Flat After Options-Driven Volatility
Treasuries continued in the same sideways holding pattern seen over the past 4 trading sessions. This generally mirrors a holding pattern in certain tech companies' credit risk metrics. In short, bonds currently have nothing better to do than wait and see if tech is experiencing some kind of true inflection point or just a false alarm. Today was set to be especially boring as a result, but there was some afternoon volatility surrounding the options expiration cut-off (which affected both Treasuries and stocks). Even then, the net effect of that volatility was less than 1.5bps of weakness in 10yr yields (5.124 after the dust settled versus 5.112 before the spike).
Ultimately Flat After Options-Driven Volatility
| Time | Event | Period | Actual | Forecast | Prior |
|---|---|---|---|---|---|
| Wednesday, Oct 21 | |||||
| 7:00AM | Oct/16 Mortgage Market Index | Oct/16 | 188.6 | 199.2 | |
| 7:00AM | Oct/16 MBA Refi Index | Oct/16 | 503.1 | 513.5 | |
| 7:00AM | Oct/16 MBA Purchase Index | Oct/16 | 129.2 | 139.3 | |
| 10:30AM | Oct/16 Crude Oil Inventory (ml) | Oct/16 | -3.061M | -0.8M | -8.557M |
| 1:00PM | 20-Yr Bond Auction (bl) | 13 | |||
| Thursday, Oct 22 | |||||
| 8:30AM | Oct/17 Jobless Claims (k) | Oct/17 | 200K | 199K | |
| 8:30AM | Oct/10 Continued Claims (k) | Oct/10 | 1720K | 1710K | |
| 10:00AM | Sep CB Leading Index MoM (%) | Sep | -0.1% | -0.1% | |
| 1:00PM | 5-Yr Note Auction (bl) | 26 | |||