Financial market analysis prices and volatility

Find weekly our studies and decryptions on the evolution of prices and volatility of bond markets, foreign exchange and equity indices.

Update : 01/23/2023 - 04:20 am GMT

Memento

US Bond Market

A US bond market with slightly lower yields. After a sharp drop in yields mid-week, the US curve ended almost unchanged from its level at the start of the week, only the short end moved significantly with the rise in the 1-month yield , a bottom outflow from MMFs or positioning ahead of a future rate hike? To date, the level of T-Bills anticipates a 25 bps increase in key rates. Waiting for season 5 of "Stranger things", the episode 1 of the new "debt ceiling" season has just started, to be continued ...

No big change, long-term volatility (HV) remains at a high level but no longer increases thanks to lower short volatility. Short volatility paused in its bearish movement and began a limited recovery. The closure of the Chinese markets for 1 week should not be the source of increased volatility.
The 5-year maturity remains the most volatile.

On the spreads front, no change, the bottom remains bearish except for the 10 vs 5Y which recovers. Lack of Asian players could have an impact on spreads with long maturities.

European bond market

A European bond market as sluggish as the UST with returns almost unchanged. Over one week, all the curves remained unchanged. The 10 vs 2Y French spread ended the week at parity after changing to negative. In Davos the reassuring statements of the various leaders on the evolution of the European economy did not reassure the bond markets that see Germany and France fall into recession. To date, the short maturities anticipate a 50 pbs increase in key interest rates.

Like UST, long-term volatility (HV) remains high but no longer increases due to lower short volatility. The short volatility pauses in its bearish movement by stabilizing except for the Italian which starts a limited recovery movement. The closure of the Chinese markets for 1 week should not be the source of increased volatility.

For 10-year yield spreads against Germany, European 10-year bonds having fallen more rapidly than German yields, spreads accelerated their declines. We will continue to monitor the Germany vs. Italy spread because the market doubts that the ECB will succeed in starting its QT without creating a problem on this spread.

EURUSD parity

A EURUSD pair that remains supported by a stagnation in US yields relative to the EU and expectations of a stronger rise in European rates that could eventually create a problem of access to financing in euros. As the Eurozone has 20 members out of the 27 members of the union, the EURCHF paritie will also be to watch.

Equity Indices

Stock market volatility (HV) continues to decline and equity indices are running out of steam.

This dashboard, offers you a quick overview of the main spreads, yield levels and volatility in the US bond market.

You will find more details on the different components of the UST in the section Rates.
The US yield curve and yields level are available in the section Real time.

UST

UST VOLATILITY

1 & 3 MONTHS

10Y vs 2Y

10Y vs 3M

US 10 year government at 3.480

Pression Acheteur Pression Vendeur

Fundamental trend : Consolidation

The buying pressure declines erratically, the predominant selling pressure increases at a slow but steady pace.

For this week, the U.S 10-year should test its resistance level 3.527 / 3.549 to find a ceiling below level 3.601 / 3.619. Its bearish movements should be limited to its support level 3.344 / 3.336.

Resistances	3.487	3.511	3.527	3.549	3.560	3.570	3.590	3.601	3.619	3.636	3.650	3.667	3.740	3.750	3.780	3.791	3.800	3.816	3.830	3.840
Supports	3.470	3.433	3.424	3.410	3.400	3.371	3.355	3.343	3.336	3.318	3.290	3.280	3.249	3.239	3.220	3.208	3.199	3.180	3.170	3.131

Volatility HV *	21 D.		252 D.		LTV
Average range *	Day	0.114	Weekly	0.235
Max. weekly range *	3.245	3.715

* Anticipated

This dashboard, offers you a quick overview of the main spreads, yield levels and volatility in the German bond market.

You will find more details on the different components of the German bond in the section Rates.
The German curve and yields level are available in the section Real time.

GERMAN BOND

GERMAN VOLATILITY

10Y vs 2Y

10Y EU SPREADS

German 10 year government at 2.175

Buyer PressureSeller Pressure

Fundamental trend : Consolidation

The buying pressure stagnates, the predominant selling pressure increases at a slow but steady pace.

For this week, the German 10-year should test its resistance level 2.185 / 2.202 to find a ceiling below level 2.355 / 2.363. Its bearish movements should be limited to its support level 1.996 / 1.981.

Resistances	2.177	2.185	2.202	2.211	2.242	2.264	2.271	2.296	2.317	2.323	2.355	2.363	2.372	2.401	2.423	2.499	2.511	2.534	2.560	2.572
Supports	2.174	2.161	2.154	2.112	2.102	2.092	2.087	2.074	2.049	2.037	2.030	2.015	1.996	1.981	1.971	1.956	1.944	1.930	1.921	1.907

Volatility HV *	21 D.		252 D.		LTV
Average range *	Day	0.116	Weekly	0.240
Max. weekly range *	1.935	2.415

* Anticipated

This dashboard, offers you a quick overview of the main spreads, yield levels and volatility in the French bond market.

You will find more details on the different components of the French bond in the section Rates.
The French curve and yields level are available in the section Real time.

FRENCH BOND

FRENCH VOLATILITY

10Y vs 2Y

10Y EU SPREADS

French 10 year government at 2.614

Buyer PressureSeller Pressure

Fundamental trend : Consolidation

The buying pressure stops its decline, the predominant selling pressure stagnates.

For this week, the French 10-year should test its resistance level 2.649 / 2.653 to find a ceiling below level 2.738 / 2.755. Its bearish movements should be limited to its support level 2.379 / 2.353.

Resistances	2.649	2.653	2.662	2.670	2.696	2.738	2.755	2.763	2.773	2.787	2.831	2.853	2.871	2.882	2.930	2.950	3.023	3.056	3.084	3.096
Supports	2.614	2.596	2.577	2.566	2.553	2.527	2.501	2.492	2.457	2.446	2.436	2.425	2.417	2.394	2.379	2.353	2.333	2.316	2.307	2.278

Volatility HV *	21 D.		252 D.		LTV
Average range *	Day	0.128	Weekly	0.285
Max. weekly range *	2.329	2.899

* Anticipated

This dashboard, offers you a quick overview of the main spreads, yield levels and volatility in the Italian bond market.

You will find more details on the different components of the Italian bond in the section Rates.
The Italian curve and yields level are available in the section Real time.

ITALIAN BOND

ITALIAN VOLATILITY

BTP 10Y

10Y vs 2Y

10Y EU SPREADS

EURUSD at 1.0855

Buyer PressureSeller Pressure

Fundamental trend : Technical recovery

The predominant buying pressure and the selling pressure are stagnating.

For this week, the single currency should still test its resistance zone 1.0880 / 1.0891 to come in zone 1.0948 / 1.0960. Its bearish movements should be limited to its support level 1.0637 / 1.0630.

Resistances	1.0871	1.0880	1.0891	1.0903	1.0913	1.0928	1.0944	1.0948	1.0960	1.0966	1.0981	1.0999
Supports	1.0850	1.0839	1.0822	1.0809	1.0791	1.0782	1.0777	1.0766	1.0759	1.0748	1.0726

Volatility HV *	21 D.		252 D.		LTV
Average range *	Day	0.0090	Weekly	0.0168
Max. weekly range *	1.0687	1.1023
* Anticipated

SP500 at 3972

Buyer PressureSeller Pressure

Fundamental trend : Bearish

The predominant buying pressure and the selling pressure are progressing slowly.

For this week, the index should continue to move in a 3848 / 3932 / 4016 range with a peak of volatility at the beginning of the week.

Resistances	3974	3983	3996	4002	4010	4016	4028	4057	4076	4086	4096	4103
Supports	3965	3959	3950	3940	3932	3924	3913	3908	3901	3890	3876

Volatility HV *	21 D.		252 D.		LTV
Average range *	Day	64 Pts	Weekly	115 Pts
Max. weekly range *	3857	4087
* Anticipated

IMPLIED VOLATILITY SP500 OPTIONS

Over 1 week, variation of the centered volatility (monthly maturities)

SPX	02/17/2023	03/17/2023
IV	18.27 ( + 1.25 pts)	18.54 ( + 0.72 pts)
CALL	17.90 ( + 1.30 pts)	18.18 ( + 0.66 pts)
PUT	18.64 ( + 1.19 pts)	18.91 ( + 0.78 pts)
SP P/C	+ 0.75 ( - 0.11 pts)	+ 0.73 ( + 0.12 pts)

SPY	02/17/2023	03/17/2023
IV	18.58 ( + 1.18 pts)	19.04 ( + 0.62 pts)
CALL	18.87 ( + 1.23 pts)	19.05 ( + 0.62 pts)
PUT	18.29 ( + 1.14 pts)	19.03 ( + 0.80 pts)
SP P/C	- 0.58 ( - 0.09 pts)	- 0.02 ( + 0.18 pts)

T-BILL 3M vs 1M

For this week on the monthly maturity in March, the spread put vs call remained stable and the evolution of the smile indicates a selling pressure drying up on OTM calls. Aside from a peak expected at the start of the week, implied volatility is showing signs of weakness.

The buying small put outside only harms the seller.

As every week, the operations related to the weekend Theta are expected to exert bullish pressure on Monday and bearish pressure on Friday on the implied volatility.

VIX INDEX at 19.85

Pressure
VIX - HV

HV SP500 / HV UST - Weekly

HV SP500 / HV UST - Daily