💵 Spreads Off Highs Despite Higher U.S. Tsy Yields: Cable FX Macro
- Rosbel Durán
- Oct 6, 2022
- 1 min read
U.S. Treasury Yield curve has risen this week from Monday's lows where the 10-yr yield ticked at 3.6387%, now at 3.7651%. Rates still remain relatively lower to last week
Despite the comeback in U.S. yields, spreads have not favoured the dollar in recent days. A Bloomberg gauge of dollar interest rate spreads is lower on the week and off the highs seen during September
Looking for some direction in the dollar, the correlation between rate spreads and the USD index remains positive, but off highs seen earlier in the year. Last 11%, high 74% (late June)
In the options space, dollar 1mo risk reversals favour calls by 1.4, RR remain within the range seen for the most part of this year
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