Update : 05/17/2021 - 12:15 am GMT
Summary of the week ahead
We should see :
A US bond market with a long part of the curve continuing to run after the inflation and overreacting to economic announcements via peaks in volatility, especially with the 10 year.
A short end always in the turmoil of excess liquidity (TGA) exerting strong downward pressure on short rates, pressure spreading to the floating portion of interest rate swaps (Libor). As S. Skyrm points out, maintaining QE does not solve the problem. For our part, we see it as a dog trying to bite its tail. But let’s sleep quietly, central banks got it under control^^.
European bond markets that should pause with the rise of long yields.
A EURUSD parity benefiting from the pressure on US short rates.
Stock indexes reflecting the volatility of economic figures.
NOTE : To the question: why don’t you change the fundamental trend of EURUSD parity ? For us, there is no reason to change it, the parity remains in a consolidation phase of a bullish movement started in early 2020. This phase is expected to change soon with high volatility.
US 10 year government at 1.626
Buyer PressureSeller Pressure
fundamental trend : Technical recovery
The predominant buying pressure progresses at a steady speed, the selling pressure increases suddenly.
For this week, the 10 year US should remain between its resistance of 1,703 and its support zone 1,561 / 1,553. At the beginning of the week, a peak in volatility is not to be excluded.
* Anticipated
| DASHBOARD | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| T-Bill 3M | Pressure | AB Points | -0.040 | -0.010 | 0.000 | 0.010 | 0.015 | 0.020 | 0.031 | 0.045 | 0.060 | |||
| Spread 10Y/3M | Pressure | FRA-OIS $ | Pressure | |||||||||||
| US bond market | ||||||||||||||
German 10 year government at -0.126
Buyer PressureSeller Pressure
fundamental trend : Technical recovery
The predominant buying pressure stagnates, the selling pressure decreases by slowing down its speed.
For this week, the 10 year German should come back and evolve around its support zone -0.160 / -0.169. Its bullish movements should be limited to its resistance of -0.079.
* Anticipated
| DASHBOARD | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Spread US vs GER | Pressure | Spread ITA vs GER | Pressure | ||||||||
| German bond market | |||||||||||
French 10 year government at 0.264
Buyer PressureSeller Pressure
fundamental trend : Technical recovery
The predominant buying pressure decreases by accelerating its speed, the selling pressure decreases slowly.
For this week, the 10 year French should find a ceiling below its resistance level 0.276 / 0.285 to return towards its support at 0.200 or even 0.185.
* Anticipated
| DASHBOARD | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Spread FR vs GER | Pressure | |||||||||
| French bond market | ||||||||||
EURUSD at 1.2143
Buyer PressureSeller Pressure
fundamental trend : Consolidation
The predominant buying pressure progresses at a steady speed, the selling pressure increases by jolt.
For this week, the single currency should come to test its resistance zone 1.2187 / 1.2202 to find a ceiling below the zone 1.2243 / 1.2265. Its bearish movements should be limited to its support 1.2026.
| Resistances | 1.2157 | 1.2165 | 1.2187 | 1.2195 | 1.2202 | 1.2224 | 1.2243 | 1.2265 | 1.2281 | 1.2289 | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Supports | 1.2142 | 1.2131 | 1.2109 | 1.2091 | 1.2081 | 1.2070 | 1.2057 | 1.2040 | 1.2032 | 1.2026 | ||
| Volatility HV * | 21 D. | 252 D. | LTV | |||||||||
| Average range * | Day | 0.0066 | Weekly | 0.0150 | ||||||||
| Max. weekly range * | 1.1993 | 1.2293 | ||||||||||
| EURUSD details | ||||||||||||
* Anticipated
SP500 at 4173
Buyer PressureSeller Pressure
fundamental trend : Bullish
The buying pressure stops its decline, the predominant selling pressure slows its speed of progression.
For this week, the index should be like last week but less volatile, with a bullish movement limited to its resistance of 4194 or even 4218 to return towards its support zone 4098 / 4086.
| Resistances | 4178 | 4191 | 4194 | 4218 | 4238 | 4275 * | 4285 * | 4335 * | ||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Supports | 4164 | 4151 | 4132 | 4126 | 4098 | 4086 | 4074 | 4058 | 4031 | 4016 | ||
| Volatility HV * | 21 D. | 252 D. | LTV | |||||||||
| Average range * | Day | 58 Pts | Weekly | 108 Pts | ||||||||
| Max. weekly range * | 4065 | 4281 | ||||||||||
| SP500 details | ||||||||||||
* Anticipated
IMPLIED VOLATILITY SPX OPTIONS
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.
This week, volatility (SPY, SPX) rose on 30 and 90 day maturities. Put/Call spreads at parity have fallen (SPX, SPY) on the 30 and 90 day maturities with the larger rise in calls.
For this week, an excessive return of volatility would make us again monitor the purchase of 90-day calls out with Delta hedge.
VIX INDEX at 18.81
| Pressure | |
|---|---|
| VIX HV |
UST Short
HV SP500 / HV UST - Weekly
HV SP500 / HV UST - Daily