This Is The Capitulation "Trigger Line" For CTAs Shorting Treasuries

by Tyler Durden
Friday, Apr 16, 2021 - 11:21 AM
Many eyebrows were raised by yesterday's sudden move in Treasurys when following stellar economic data, treasury yields... tumbled, a move one would expect if the data had
missed across the board. Commenting on the scale of the move, Charlie McElligott notes that  yesterday’s escalation rally in US duration (as measured by ZROZ 25+ Year Zero Coupon ETF as proxy) was the 3rd largest 1 day return since the Nov 4 week prior to election, "and acted to further accelerate the rather dramatic countertrend reversal seen MTD in Equities thematics/risk premia."
The explanation, which we first suggested and others piggybacked on, was aggressive short positioning heading into yesterday's hot data - which perhaps wasn't hot enough - and prompted a TSY short squeeze, or as Nomura's Masanari Takada said, "

Related Keywords

China , Japan , Toronto , Ontario , Canada , Cayman Islands , Japanese , Masanari Takada , Nomura Masanari Takada , Richard Kelly , Charlie Mcelligott , Dominion Bank , Bonds , Year Zero Coupon , Japanese Mof , சீனா , ஜப்பான் , டொராண்டோ , ஆஂடேரியொ , கனடா , கேமன் தீவுகள் , ஜப்பானிய , ரிச்சர்ட் கெல்லி , சார்லி ம்செல்லிகொட்ட் , ஆதிக்கம் வங்கி , பத்திரங்கள் , ஆண்டு பூஜ்யம் கூப்பன் ,