Volatility in equity markets has subsided somewhat, but markets remain choppy. Treasury prices are higher this morning, although off the overnight highs, and U.S. equities are set to open lower (S&P 500 futures -9.5 points). Global equity markets were mixed overnight. The Nikkei closed only 0.2% higher after initially surging 3.4% in early trading, and China’s Shanghai Composite fell 2% on news that the government was raising mortgage rates in certain areas. The Euro Stoxx is currently up 0.8%.

Implied interest rate volatility has not been as extreme as what has occurred in equity markets, but it has certainly bounced higher in recent days/weeks from historic lows. That said, the MOVE Index (tracks 1-month Treasury options across the curve) remains below late 2016/early 2017 levels and is not in the vicinity of 2013 or 2007-2009 crisis levels. The Treasury curve has steepened nearly 15 bps thus far in February using the 2-year/10-year spread to measure slope (currently 70 bps), and corporate bond spreads are 3-5 bps wider amid the weakness in equities.

Jason Haley
Managing Director, Investment Management Group

Date Event SurveyActualPrior
02/07/2018MBA Mortgage Applications2-Feb0.70%-2.60%
02/07/2018Consumer CreditDec$20.000b$27.951b
02/07/2018Revisions: Consumer Price Index    
02/08/2018Initial Jobless Claims3-Feb232k230k
02/08/2018Continuing Claims27-Jan1940k1953k
02/08/2018Bloomberg Feb. Economic Survey
02/08/2018Bloomberg Consumer Comfort4-Feb54.6
02/08/2018Mortgage Delinquencies4Q4.88%
02/08/2018MBA Mortgage Foreclosures4Q1.23%
02/09/2018Wholesale Inventories MoMDec F0.20%0.20%
02/09/2018Wholesale Trade Sales MoMDec0.40%1.50%
02/12/2018Monthly Budget StatementJan$47.0b$51.3b
02/13/2018NFIB Small Business OptimismJan106104.9
02/13/2018Revisions: Producer Price Index
02/14/2018MBA Mortgage Applications9-Feb0.70%
02/14/2018CPI MoMJan0.30%0.10%
02/14/2018CPI Ex Food and Energy MoMJan0.20%0.30%
02/14/2018CPI YoYJan1.90%2.10%
02/14/2018CPI Ex Food and Energy YoYJan1.70%1.80%
02/14/2018CPI Index NSAJan246.524
02/14/2018CPI Core Index SAJan254.426
02/14/2018Retail Sales Advance MoMJan0.30%0.40%
02/14/2018Retail Sales Ex Auto MoMJan0.50%0.40%
02/14/2018Retail Sales Ex Auto and GasJan0.40%0.40%
02/14/2018Retail Sales Control GroupJan0.40%0.30%
02/14/2018Real Avg Weekly Earnings YoYJan0.70%
02/14/2018Real Avg Hourly Earning YoYJan0.40%
02/14/2018Business InventoriesDec0.30%0.40%