February 27th, 2015 2:12 pm | by John Jansen |
This is a guest post from my friend and former colleague Stephen Liddy.
Unfortunately what Steve wrote does not transfer well to this low rent blog but if you take the time the table is readable. It is my fault and not his.
Via Stephen Liddy a fully paid up subscriber.
With NFP coming next week, there will likely be a move to higher yields coming before next Friday, 8:30pm. In fact, using the preceding Friday’s Bloomberg close, 5y notes have sold off by an average of 8.24bp (using the highest yield seen up until Thursday of NFP).
Nothing is a lock, and it’s not likely you’ll catch the entire range, but certainly points to a decent risk/reward.
Pre-Friday close High Yld/date Spread
2/28-1.5016 1.5802-3/6 7.89
3/28-1.7479 1.7992-4/2 5.13
4/25-1.7249 1.7676-4/29 4.27
5/30-1.5391 1.664-6/5 12.49
6/27-1.6381 1.7119-7/2 7.38
7/25-1.6714 1.8056-7/31 13.42
8/29-1.625 1.735-9/3 11.0
9/26-1.7959 1.8091-9/29 0.97*
10/31-1.6095 1.6773-11/6 6.78
11/28-1.4805 1.5719-12/4 11.19
1/2-1.607 1.6348-1/5 2.78**
2/2-1.1789 1.3345-2/4 15.56
*-Yes, technically it did sell off, but the market wound up rally 11+bp before the Friday release
**Market rallied sharply following the holiday week with 5s rallying 12+bp after an early Monday sell off