Group 1 - Long-term U.S. Treasury bonds are experiencing a significant decline, causing traders to feel uneasy as yields hover around the critical psychological threshold of 5% [1] - A recent survey by JPMorgan indicates that investor expectations for further selling are worsening, with net short positions across all client categories reaching the highest level since mid-February [1] - The current yield on the 30-year Treasury bond is approximately 4.97%, having peaked at 5.15% last week, marking the highest level since October 2023 [1] Group 2 - There is a global steepening of the yield curve, with increasing supply and decreasing demand for long-term securities, putting pressure on the long end of the curve [2] - Recent auctions for five-year and two-year Treasury bonds have shown strong demand, highlighting the disparity in investor interest between short-term and long-term bonds [2] - As of the week ending May 27, investor direct short positions increased by 2 percentage points, reaching the highest level since February 10 [2] Group 3 - SOFR options have seen significant activity, particularly for options with a strike price of 94.875, driven by inflows including a large buyer of a specific put spread [5] - The strike price of 95.75 remains the second most active despite a large amount of clearing, with 95.625 being the most significant strike price across various option expirations [7] - Traders are paying higher premiums to hedge against the risk of long bond contract sell-offs, with the inclination for put options in long-term bond contracts reaching the highest level in about a month [10] Group 4 - Asset management companies have been actively reducing leverage in U.S. Treasury futures, closing approximately 168,000 contracts of 10-year Treasury futures equivalents in the latest week [13] - The de-risking is most pronounced in futures for bonds with maturities over 10 years, with a significant amount of long positions being closed [13]
美债长端收益率逼5%拉响警报 交易员押注美债将进一步下跌
智通财经网·2025-05-29 01:14