美债空头在关键CPI数据前加码，但大行与部分资金转向看多，方向分歧明显

Bond traders added to bets on further losses in Treasuries before inflation data that will help shape expectations for Federal Reserve policy through year-end.

Positioning in Treasury options on Tuesday captured the bearish sentiment, with a couple of standout transactions targeting a deeper selloff in longer maturities. Another wager appeared to be a hedge before Wednesday’s consumer-price figures, which are projected to show overall inflation accelerated last month. The trade would profit from higher 10-year yields by the end of the session.

While recent flows in Treasuries have been mixed, there is “little change in the structural setup,” which remains “extended short,” Citigroup Inc. strategist David Bieber said in a Monday note, citing the firm’s daily positioning analysis. “Short momentum and short profits dominate.”

Around a week ago, when Bieber called the market’s short stance toward Treasuries “extreme,” benchmark 10-year yields reached 5.36%, the highest since 2002. They’ve edged lower since, in part as auctions last week drew strong demand, and traded at around 5.2% on Wednesday.

The buying showed some investors saw value after the monthslong bond-market slide, which was spurred by the energy shock from the Iran war, worries around global government finances and resilient economic growth.

Longer-dated yields remained lower on Tuesday after New York Fed President John Williams said he still sees one more interest-rate hike as appropriate this year, but at the moment doesn’t expect it will be necessary to tighten again in 2027.

Positive Turn

As yields have failed to extend their climb through 5.3% in the 10-year and 5.7% in 30-year bonds over the past week, some investors and banks have turned positive on Treasuries. That group includes Blackrock Inc.’s research unit and strategists at Goldman Sachs Group Inc. who see signs the 10-year Treasury may be poised for a rebound.

In a subdued session on Monday when the cash market was closed for a US holiday, one options trade stood out. The structure looks to target a drop in the 30-year yield to around 5.3% over the coming two weeks, from about 5.54% now.

A hotter inflation reading on Wednesday could rejuvenate the bearish camp and ramp up pricing for both an October and December Fed move. For now, traders are only fully pricing in one quarter-point boost by year-end.

In Treasury futures, the most eye-catching move in positioning over the past week has been a large unwind in net long positions among asset managers, an indication of forced selling driven by dynamics around so-called “switch-risk” in the cheapest-to-deliver security attached to the futures.

Read more: A Big Asset Manager Deleveraging Is Underway in Treasury Futures

Here’s a rundown of positioning indicators across the rates market over the past week:

SOFR Options Positioning

Across SOFR Dec26, Mar27 and Jun27 options, there was decent demand for 96.50 strikes following flows including buyer of SFRM7 95.50/95.3125/95.0625 broken put flies, while the Jun27 95.50/95.6875 call spreads were sold vs. buying SFRM7 94.9375/94.75 put spreads over the past week also. The 95.8125 strike was also popular over the past week, where flows have included buyer of Mar27 95.9375/95.8125/95.25/95.00 broken put condors.

The 96.50 strike remains the most populated across Dec26, Mar27 and Jun27 tenors. Flows over the past week have included an outright buyer in the strike via Mar27 calls, adding to open interest. The 96.25 strike remains the second-most-populated, with flows over the past week including a buyer of Dec26 96.125/96.25 call spreads and Mar27 95.75/96.00/96.25 call trees for new risk.

Treasury Options Skew

The premium paid to hedge Treasury futures in the long-bond contract has continued to drift closer to neutral, from highly extended in favor of puts, as traders continue to pay lesser premiums to hedge a selloff in the long-end of the futures strip. On Monday, one of the standout option flows in the long-bond futures was a large buyer of call spreads, targeting a 30-year yield move down to around 5.3%.