美债看涨期权成交走高，交易员押注10年美债收益率跌向4%

Core Viewpoint - The bond market is experiencing increased bets on a decline in the 10-year U.S. Treasury yield to 4%, driven by dovish signals from the Federal Reserve and easing tensions in the Middle East [1][2]. Group 1: Market Reactions - Traders have invested at least $38 million in call options for 10-year Treasuries, betting on a drop in yield from approximately 4.3% to 4%, marking the lowest level since April [1]. - The swap market has raised the probability of a Fed rate cut in July from nearly 0% to 40%, with expectations for a total cut of 60 basis points over the remaining four meetings this year [1]. - The unexpected weakness in June consumer confidence data further supported these options positions, leading to a drop in the 10-year yield to its lowest level since early May [1]. Group 2: Options Market Dynamics - Since last Friday, the open interest in August 10-year Treasury call options has surged, indicating new risk rather than closing existing positions [2]. - A notable trade on Monday involved a $10 million option premium locking in a strike price of 113.00, equivalent to a 4% yield on Treasuries [2]. - The announcement of a ceasefire between Iran and Israel has also contributed to increased demand for safe-haven assets, pushing yields lower [2]. Group 3: Positioning and Sentiment - A survey by JPMorgan indicated a 4 percentage point decline in net long positions among traders, with some funds shifting to a neutral stance, resulting in the lowest net long positions in three weeks [3]. - CFTC data shows that asset management firms have increased their net long positions in Treasury futures, with a cumulative increase of $1.45 million/DV01 across 2-year, 10-year, and long-term futures [3]. - Conversely, hedge funds have increased their short positions in 10-year Treasury futures by approximately $490,000 per duration value, while also closing out about $460,000/DV01 in short positions in long and ultra-long Treasury futures [3].