{"id":4633,"date":"2021-03-07T01:38:12","date_gmt":"2021-03-07T06:38:12","guid":{"rendered":"https:\/\/navesinkinternational.com\/?p=4633"},"modified":"2023-12-20T02:53:23","modified_gmt":"2023-12-20T07:53:23","slug":"4-25-repo-on-10y-and-other-volatility-warnings","status":"publish","type":"post","link":"https:\/\/navesinkinternational.com\/2021\/03\/07\/4-25-repo-on-10y-and-other-volatility-warnings\/","title":{"rendered":"4.25% repo on 10Y and other volatility warnings"},"content":{"rendered":"
\n

\"HammockWe saw some pretty unusual stuff on the markets last week. There is a lot of nervosity in the markets. A foretale of more significant moves?<\/p>\n

 <\/p>\n

The crazy stuff<\/strong><\/h3>\n
    \n
  • The repo on the 10 Y treasury has reached 4.25% on Thursday<\/u>, which is more than the failure to deliver rate. The demand for borrow was such that virtually all the bonds at the treasury fed ($14.5 bn) were on loan.<\/li>\n<\/ul>\n

    \"10Y<\/p>\n

      \n
    • \u00a0Rates were on historical lows. When rate rally started, all the investors rushed to the door at the same time. It’s not over; analysts are forecasting a further increase in the yield.<\/li>\n<\/ul>\n
        \n
      • On Friday, the S&P dropped ~2% from its opening, before closing up 1.95%<\/span>. Those typed of behaviors are typical of a strong market nervosity (read “volatility”), even if it is not materialized yet in the close-to-close volatility calculations.<\/li>\n<\/ul>\n

        \"S&P<\/p>\n

          \n
        • On the S&P, Friday was one of the largest intra-day reversal ever<\/span>:<\/li>\n<\/ul>\n

          \"\"<\/p>\n

            \n
          • Actually, the VIX rallied up to 32 on Powell’s speech, before closing back at 24<\/span> on Friday<\/li>\n<\/ul>\n

            \"VIX<\/p>\n

              \n
            • There was a rotation of stocks in the S&P, with notably a rally of the most shorted stocks<\/span><\/li>\n<\/ul>\n

              \"Most<\/p>\n

               <\/p>\n

              Going forward…<\/strong><\/h3>\n
                \n
              • The rates are not rising just in the US<\/span>. It is a global issue<\/span><\/li>\n<\/ul>\n

                \"Rising<\/span><\/p>\n

                  \n
                • \u00a0The equity market is overvalued<\/span>, but the Fed and the new 1.9 Tn stimulus plan supports the economy. The eternal question is – for how long? Could an event trigger a crash?<\/span><\/li>\n
                • Talking about a possible event, Nick Panigirtzoglou, JP Morgan’s quant analyst, 60:40 funds now have to rebalance and sell an estimated $107 Bn of equities. This will come on top of $110 bn of redemptions from pension investors, $22 Bn from Norges Bank, and $34 from Japan’s government pension fund, bringing the e<\/span>xpected selling pressures on equities around $316 Bn for the end of this quarter.<\/u><\/li>\n<\/ul>\n<\/blockquote>\n","protected":false},"excerpt":{"rendered":"

                  This week saw some really unusual moves, 10Y repo, intraday volatility, stock rotations, A harbinger of more volatility to come?<\/p>\n","protected":false},"author":1,"featured_media":4668,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[12,11],"tags":[99,98,40,48,72,38],"acf":[],"_links":{"self":[{"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/posts\/4633"}],"collection":[{"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/comments?post=4633"}],"version-history":[{"count":2,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/posts\/4633\/revisions"}],"predecessor-version":[{"id":13183,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/posts\/4633\/revisions\/13183"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/media\/4668"}],"wp:attachment":[{"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/media?parent=4633"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/categories?post=4633"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/navesinkinternational.com\/wp-json\/wp\/v2\/tags?post=4633"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}