非农数据掀波澜：美债收益率曲线交易热度飙升 利差扩至四年高位

Group 1 - The unexpected rise in unemployment rate in November adds uncertainty to the mixed signals surrounding the U.S. economic outlook, leading bond traders to favor short-term U.S. Treasuries over long-term ones [1] - The yield spread between 2-year and 30-year U.S. Treasuries has widened to its largest extent in over four years, reflecting market expectations that the Federal Reserve will likely cut rates at least twice next year despite persistent inflation and strong economic growth [1] - The "curve steepening" trade is gaining traction, betting that the yield gap between short-term and long-term debt will continue to expand, with the upcoming release of November consumer price data set to further test this trade [1] Group 2 - A significant large-scale spread trade in the futures market aligns with the widening yield spread between 2-year and 30-year Treasuries, indicating a profit of $3 million within a day as the spread increased from 132 basis points to approximately 137 basis points [2] - As of the week ending December 15, investor direct long positions increased by 6 percentage points, shifting from neutral to long, while direct short positions remained unchanged [2] Group 3 - In the SOFR options market, there has been a notable increase in risk exposure for options expiring on March 26, June 26, and September 26, particularly for various call and put options, as traders hedge against potential dovish and hawkish policy scenarios from the Federal Reserve [5] - The largest open interest is observed at the 96.50 strike price for March 26 options, with significant positions also at the 96.375 strike price [7] Group 4 - The premium for put options used to hedge U.S. Treasury risks has continued to tilt towards bearish options, indicating strong demand for Treasuries amid expectations that long-term yields will underperform compared to short- and medium-term yields [10] - The steepness of the yield curve between 2-year and 30-year Treasuries reached its highest level since November 2021, exceeding 137 basis points [10]