Large open interest gains in the Eurodollar followed the payroll report on Friday. Eurodollar open interest was higher by nearly 100K while 2’s 5’s and 10’s where higher by 22K, 43K and 26K respectively.
All this talk about illiquidity and the S&P 500 just keeps bobbing back and forth within a modest range of about 5% during the last 4 months. Each trip toward new highs has been met with disappointment and each sell-off has been truncated without achieving even a 4% correction before recovering.
If the session was ending now at 7:40 with the price action see thus far, a bullish warning would be made by the candlestick pattern drawn. Following strong bearish price action over the last three sessions that moved Treasuries more than 2.5 points lower, TYU may be forming a "bullish hammer," with prices recovering from overnight lows.
Today, directionality may have been decided with the bund falling over a point from yesterday’s settlement. A stronger sense that major players are coming together to examine the Greece situation is bring calm and could be putting some pressure on rates.
In mid-April, we warned of a turn in rates when the Bund yield was near zero. The candlestick pattern that precipitated that call was a "double doji," which points to heightened indecisive trade and a potential for forthcoming volatility.