8月13日周三，数据显示，短期美债两日连涨，SOFR期权市场中，涉及2025年9月、12月及2026年3月到 期的合约交易活跃度上升。背后原因是，美国温和的CPI通胀报告让市场更相信美联储会在9月降息， 甚至可能大幅降50个基点，因此交易员已经通过债券、期权等工具大幅押注降息。 但由于核心通胀仍有压力，让美联储无法完全放心。经济学家称，市场还需等待另一份通胀数据和关键 就业数据，这些数据若不及预期，可能削弱降息理由，因此市场内部存在分歧，有人谨慎平仓，机构持 仓出现对立。从市场持仓看，部分投资者在通胀数据公布前平掉部分多头仓位。同时机构持仓存在分 歧。 投资者通过美债、掉期交易等方式押注降息 美国最新公布的CPI通胀报告虽然部分细节有隐忧，但整体偏温和，这让市场交易员更坚定地认为美联 储会在未来几个月下调利率，甚至有人开始押注大幅降息，比如一次性降50个基点。 部分机构及官员也表达了相关开放态度，美国财政部长贝森特、贝莱德全球固定收益首席投资官Rick Rieder等都公开表示，美联储应考虑9月降50个基点，进一步强化了市场对大幅降息的想象。 为了从降息中获利，市场投资者已经开始通过多种工具布局。过去几周，投 ...

智通财经APP获悉，一份总体温和的美国通胀报告正在强化交易员的立场，即押注美联储很快会降息。其中部分人认为出现超大幅降息的可能性正在上升。 New Century Advisors首席经济学家Claudia Sahm表示："9月降息还没板上钉钉。我们还没有确凿的数据来证明这一点。" 数周以来，投资者通过掉期、期权以及直接做多美债的方式，押注温和的通胀将使美联储在未来几个月内降低借贷成本。这一观点在周二得到了初步验证。 数据显示，美国7月CPI环比增长0.2%，预估为0.2%，前值为0.3%;7月CPI同比增长2.7%，预估为2.8%，前值为2.7%。7月核心CPI环比增长0.3%，预估为 0.3%，前值为0.2%;7月核心CPI同比增长3.1%，预估为3%，前值为2.9%。 美国7月CPI数据公布后，短期美债收益率走低，掉期交易员将美联储9月降息的概率上调至90%。值得注意的是，交易员们对美联储在9月降息超过25个基点 的押注也获得了更多关注。他们在与担保隔夜融资利率(SOFR)挂钩的头寸中增加了约200万美元的期权权利金，该头寸将在9月降息超过25个基点的情境下 获利。 贝莱德全球固定收益部门首席投资官Ri ...

Group 1 - The U.S. economy is showing signs of weakness, providing a basis for the Federal Reserve to respond to Trump's calls for interest rate cuts, with the bond market increasing bets on rate cuts this year [1] - SOFR options indicate that investors are preparing for potential rate cuts in the remaining three meetings, with expectations of a cumulative rate reduction of 75 basis points by 2025, and some even betting on a 50 basis point cut in September [1][22] - Recent economic data, including weaker-than-expected non-farm payrolls and stagnant service sector reports, have reinforced market expectations for the Fed to cut rates to support the economy [1] Group 2 - Morgan Stanley's clients have increased their long positions in U.S. Treasuries to the highest level since April, reflecting a bullish sentiment in the cash market [5] - The Federal Reserve is showing signals of a policy shift, with officials like San Francisco Fed President Daly stating that "the time for rate cuts has come," and some members voting against maintaining rates [5] - As of the week ending August 4, clients raised their long positions in U.S. Treasuries by 5 percentage points, marking the highest level since April 14 [6] Group 3 - SOFR options data shows significant increases in positions for various strike prices, particularly for puts at 95.75, indicating a strong bearish sentiment [8][10] - The demand for hedging against further rate declines has increased following the employment report, with some positions directly betting on a 50 basis point cut in September [10] - The skew in U.S. Treasury options has shifted to a bullish stance, with the expansion of long call skew reaching the highest level since April [14] Group 4 - Hedge funds have significantly increased their net short positions in 10-year Treasury futures, while asset management companies have increased their net long positions in 10-year and longer contracts, indicating a notable divergence in market sentiment [18] - Current market focus is on the September meeting, with some SOFR options trading reflecting investors preparing for potential large rate cuts [22]

Group 1 - The secured overnight financing rate (SOFR) reported at 4.28% on July 21, down from 4.30% the previous day [1] - Large trades in SOFR options indicate traders are betting that the Federal Reserve will not cut interest rates as much as previously expected this year [1] - The effective federal funds rate remained unchanged at 4.33% on the same day [1]

Group 1 - Bond traders have rapidly built long positions in U.S. Treasuries, betting that the upcoming employment report will provide further momentum for the market [1] - The June non-farm payroll report is seen as a significant risk event for long investors, especially after the JOLTS job openings report showed a surprising increase in May, leading to a sell-off in the bond market [1] - Citigroup strategist David Bieber noted that the continued accumulation of long positions has reached a "highly extended" state, indicating potential for a significant pullback if employment data is strong [1] Group 2 - JPMorgan's recent survey indicated that absolute long positions in U.S. Treasuries have risen to the highest level in two weeks, with net long positions increasing by two percentage points [2] - There has been a shift towards bullish options in the Treasury market, with traders willing to pay premiums to hedge against significant price increases rather than declines [2] - Columbia Threadneedle Investment's global rates strategist mentioned that if employment data exceeds expectations, the probability of a rate cut in July could drop to zero [2]

Core Viewpoint - Traders in the U.S. Treasury market are heavily betting on a decline in the 10-year Treasury yield, driven by expectations of a potential interest rate cut by the Federal Reserve in July, as indicated by Chairman Powell's dovish signals in Congress [1][4][5] Group 1: Market Expectations and Movements - Significant options betting has occurred, with at least $38 million in premiums paid for call options on 10-year Treasury bonds, targeting a drop in yields to 4% or below [1][4] - The market is pricing in a 50 basis point rate cut this year, with expectations for two cuts in September and December [5][22] - The 10-year Treasury yield has recently dipped below 4.3%, marking its lowest level since early May [5][6] Group 2: Economic Indicators and Influences - The U.S. consumer confidence index fell by 5.4 points to 93, below economists' expectations, contributing to the dovish sentiment in the market [6] - The decline in consumer confidence reflects a significant drop in expectations for future business conditions, indicating potential economic weakness [6] Group 3: Options Market Dynamics - There has been a notable increase in open interest for August call options on the 10-year Treasury, indicating a strong bullish sentiment towards a yield drop [9][10] - The skew in Treasury options has shifted towards a bullish stance, with traders paying higher premiums to hedge against falling yields [19] Group 4: Broader Market Implications - A decline in the 10-year Treasury yield to 4% could alleviate pressure on risk assets, particularly benefiting technology stocks and other high-growth sectors [24][25] - The current yield levels are critical as they serve as a key input in valuation models for equities, influencing the overall market sentiment [25]

智通财经APP获悉，长期美债暴跌令交易员感到不安，随着收益率持续在5%这一关键心理阈值附近震荡，市场情绪正转向更加悲观。 摩根大通周三发布的交易员调查显示，投资者预期抛售将进一步恶化，导致29万亿美元国债市场的收益率居高不下。调查中所有客户类别的净空头头寸(包 括央行、主权财富基金、实际资金投资者和投机交易员)已攀升至2月中旬以来的最高水平。 这种看跌情绪源于全球长期债券的下跌，投资者对政府财政赤字扩大的担忧日益加剧。美国30年期国债收益率目前徘徊在4.97%附近，上周曾飙升至 5.15%，创下2023年10月以来的最高水平。这一走势的背景包括美国失去最高信用评级、日本超长期债券遭遇大幅抛售，以及前总统唐纳德·特朗普的税改法 案在众议院获得通过。 周二，随着全球债券市场反弹，基准收益率大幅下跌，长期债券获得了一些喘息机会。然而，30年期收益率仍徘徊在5%左右，表明投资者情绪依然反复无 常。这种不确定性也体现在期权市场上，交易员正支付更高的溢价来对冲长期国债期货的进一步抛售，而非押注反弹。 "这是全球范围内的收益率曲线陡峭化，"Lord Abbett & Co.的投资组合经理莉亚·特劳布表示。"同一事件有许多不 ...

Group 1 - Concerns over the expanding U.S. government debt and deficit have led traders to bet on a surge in long-term U.S. Treasury yields, exacerbated by President Trump's tax cuts [1] - The latest downward bets align with Wall Street sentiment, as strategists from major banks like Goldman Sachs and JPMorgan have raised their yield forecasts [1] - Traders have placed significant bets that the 10-year Treasury yield will test 5%, with a notable $11 million premium at risk [1] Group 2 - On Monday, the 30-year Treasury yield briefly surpassed 5%, marking its highest level since November 2023, following Moody's downgrade of the U.S. credit rating from Aaa to Aa1 [3] - The hedge premium for greater losses on the long end of the Treasury yield curve has reached its highest level since April, indicating increased market volatility [3] - JPMorgan's client survey highlighted rising expectations for Treasury yield increases, with direct short positions climbing to their highest level since February 10 [3][4] Group 3 - The most active SOFR options indicate a strong demand for put options at the 95.75 strike price, particularly for those expiring in September 2025 [7][9] - The trading flow includes significant positions in put options, reflecting a market focus on hedging against rising interest rates [9][11] Group 4 - Recent CFTC data shows asset managers have significantly closed long positions, while hedge funds have covered short positions, indicating a trend towards deleveraging [13] - The net long duration closed by asset managers is equivalent to approximately 217,000 10-year Treasury futures contracts, the largest since November of the previous year [13]