The 30:10 Treasury Bond Yield Spread is a simple Ratio difference between the 30-Year Treasury Bond Rate and the 10-YearTreasury Bond Rate.
A Large exodus from high Beta/Rho correlated Assets to perceived Safe Havens.
Presently the best-performing and most stable Asset of 2022 has been Cash - The US Dollar Index was 94.63 in mid-January to a high of 110.78 - a return of 17.066%.
Both the 30:10 Ratio and DXY performance are indicating an extreme lack of confidence in the strength of the Economy.
Quite recently Cross Flows among Capital Stocks - largest Inflows this week are 2-year Treasury Bills @ 288%. The flow was Net Cash to the Curve by Institutional Investors.
Concerns are rising with respect to both the return of Capital as well as the return on Captial.
It is important to observe the steep decline in Open Interest.
The largest SPY Roll was into the OCT Expiry @ 372 Puts.
SPX shows a parallel Roll.
Please watch the Globex Lows - the NQ and ES can trade lower, it will be important for the NYSE Open.
I focused initially on CASH for TECH - QQQ's 285 had the largest Roll period. In addition, all Strikes with a few exceptions up to 310 had retail rolling from 287.
At the moment the O/I is churned for tomorrow, with both ROLL and SWAP to Retail, BUT Retail was a net BUYER of Calls.
383 is the Primary Support now that we crushed the trend lines, the Fibs line up there for the SPY.
The ONLY issue I see is the Algos took the ES Futures up and over its Pivot trendline at the Close by a very small amount.
Whether or not we open Up and then backtest or fall away will depend on several indications from the VIX VVIX $ 2YY... Volumes will be enormous.
I'm looking over correlations and ratios and then swinging back around to Futures Options.
This is what sticks out at present, the concern, of course, is Retail Longs who thought yesterday was a great day to enter Calls.
What stands out is the size of Roll skipping the weekly expirations for both the SPY, SPX & QQQs.
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