Bund yields rose once again overnight, testing last week's melt-up 77bps top briefly but have 'stabilized' as US markets come online hovering 1bps lower. As bund prices have collapsed so it appears knife-catchers have been busily leveraging up with Call option open interest soaring dramatically (and put option open interest). This has smashed the put-call ratio from multi-year highs in mid-March (before the collapse began) to 6-month lows now. Whether this is a contrarian's dream is unclear (suggesting that there is further price downside as the weight of positions are skewed to the upside is unclear).
Bund yields are 'stable' this morning...
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Bund Futures Put-Call Ratio tumbled to 6-month lows...
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Was this plunge in Bund futures prices a huge option-market-driven squeeze? Or did the ECB 'engineer' it to give themselves some more runway on QE?
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Charts: Bloomberg
