Steeper Curves, Mixed Equities: NFP, JGB Pain and a Tentative Europe Recovery

Good evening folks,

Temperatures here are quite high and I’m sweating at 10pm. Sometimes I truly miss AC.

With that said, what a day, with NFP coming in below expectations and triggering buying at the front end, steepening the curve. When we look in detail at positioning, we see that the USD front end is still quite shorted by CTAs. We see it also in the fast momo 1 month and 1 week change, in how short positions were added by the ‘fast money’, as we could call them.

We see on the 2 year futures a score of -0.69, and probably today we saw some short covering. July, I’d say, is gone as a meeting. I had the bias to fade it and pay December 26 or September 26, as it made more sense logically given the task force Warsh announced. With that said, scores remain mixed along the curve. Long end CTAs are long, neutral around the 7/10y point, while still quite short on 2s.