Nov

4

The FOMC announcement did nothing to moderate the extremes in yield curve steepness that Rocky was talking about. Here are the moves from 2pm to 3:30pm (EST) in some bond futures:

put
FV (five year) +8/32
TY (10-year) -3/32
US (30-year) -2 24/32
UB (ultra) -4 19/32

Very roughly speaking, TY should move roughly twice as much as FV, and US roughly twice as much as TY, but obviously that's not what happened.

I think the FOMC gets a little thrill out of being able to say "I like the five-year today" for no reason and then push a button and blast it upward. Buckley's first 100 names from the Boston phone-book would do a better job, and a true market would do even better than that.


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