Despite recent comments from Janet Yellen regarding interest rates, bond yields continued to decline, reaching 1.5% - the lowest level since the first week of May. It turns out that we are dealing with a very strong sell-off of US bonds on futures contracts. As shown by JP Morgan data, the share of sellers in relation to buyers is much greater. Sellers have had the advantage since the beginning of Q4 last year, with a short break in March this year. Of course, further fate of yields will depend on tomorrow's inflation data and further actions from the Fed, which may eventually stop ignoring excessively high price levels.
The chart above shows the proportion of long positions on contracts minus the proportion of short positions. As one can see, we have a difference of about -30. It can be pointed out that there is not much room for further sale-off, at least when it comes to the bank's customers. Source: JP Morgan
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If it hadn't been for the rollover then we'd have TNOTE at its highest levels since February. On the other hand, commodities that indicate higher inflation, such as oil and copper, show that TNOTE should be higher. Certainly, in the case of further rising inflation expectations, further declines on TNOTE would be possible. Source: xStation5
