* Volatility took a tumble, particularly after the FOMC, and finished lower for the week. Red mids are the weakest and are at seven week lows.
* Constant maturity volatilities (30/60/90 day) were lower across the ED strip this week: modestly so in the fronts while mid curves are at multi week lows.
* Powell’s first go on the podium was met with very active, choppy trade and an unwind of flattener positions. The burgeoning trade war with China moved rates lower.
* Put skews (20 & 30 delta) were stronger this week throughout the ED strip. Activity was “put centric” with forceful structure build-up, ie new positions. Puts are over calls in EDK and 2EK.
* Volatility was lower for the week with the damage occurring after the hawkish FOMC. US is very near it’s low for 2018, TY and FV are near multi week lows.
* Constant maturity vols (30/60/90 day) were lower across the treasury strip and is at eight week lows across US, TY, and FV.
* Put skews (30 & 40 delta) were stronger this week and are over calls in US. TY shows calls and puts at virtual parity while FV still has calls over puts.
* Once again, on weekly basis, treasury volatility continues to trade above ED in 0EH/TUH. However 2EH/FVH and 3EH/TYH shows the ED is slightly over its treasury counterpart.
Monday: Chi Fed Activity Index, $30 Bln 2-yr Auction
Tuesday: Consumer Confidence, $35 Bln 5-yr Note
Wednesday: Trade Balance, GDP, Pending Home Sales,
$29 Bln 7-yr Note
Thursday: Claims, PCE, Personal Income/Spending,
Chi PMI, Univ of Mich Sentiment
12:00 Pit Close
Friday: Good Friday (Closed)
by Dan Kehoe