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 | Survey | Actual | Prior | |
| 02/07/2018 | MBA Mortgage Applications | 2-Feb | — | 0.70% | -2.60% |
| 02/07/2018 | Consumer Credit | Dec | $20.000b | — | $27.951b |
| 02/07/2018 | Revisions: Consumer Price Index | ||||
| 02/08/2018 | Initial Jobless Claims | 3-Feb | 232k | — | 230k |
| 02/08/2018 | Continuing Claims | 27-Jan | 1940k | — | 1953k |
| 02/08/2018 | Bloomberg Feb. Economic Survey | ||||
| 02/08/2018 | Bloomberg Consumer Comfort | 4-Feb | — | — | 54.6 |
| 02/08/2018 | Mortgage Delinquencies | 4Q | — | — | 4.88% |
| 02/08/2018 | MBA Mortgage Foreclosures | 4Q | — | — | 1.23% |
| 02/09/2018 | Wholesale Inventories MoM | Dec F | 0.20% | — | 0.20% |
| 02/09/2018 | Wholesale Trade Sales MoM | Dec | 0.40% | — | 1.50% |
| 02/12/2018 | Monthly Budget Statement | Jan | $47.0b | — | $51.3b |
| 02/13/2018 | NFIB Small Business Optimism | Jan | 106 | — | 104.9 |
| 02/13/2018 | Revisions: Producer Price Index | ||||
| 02/14/2018 | MBA Mortgage Applications | 9-Feb | — | — | 0.70% |
| 02/14/2018 | CPI MoM | Jan | 0.30% | — | 0.10% |
| 02/14/2018 | CPI Ex Food and Energy MoM | Jan | 0.20% | — | 0.30% |
| 02/14/2018 | CPI YoY | Jan | 1.90% | — | 2.10% |
| 02/14/2018 | CPI Ex Food and Energy YoY | Jan | 1.70% | — | 1.80% |
| 02/14/2018 | CPI Index NSA | Jan | — | — | 246.524 |
| 02/14/2018 | CPI Core Index SA | Jan | — | — | 254.426 |
| 02/14/2018 | Retail Sales Advance MoM | Jan | 0.30% | — | 0.40% |
| 02/14/2018 | Retail Sales Ex Auto MoM | Jan | 0.50% | — | 0.40% |
| 02/14/2018 | Retail Sales Ex Auto and Gas | Jan | 0.40% | — | 0.40% |
| 02/14/2018 | Retail Sales Control Group | Jan | 0.40% | — | 0.30% |
| 02/14/2018 | Real Avg Weekly Earnings YoY | Jan | — | — | 0.70% |
| 02/14/2018 | Real Avg Hourly Earning YoY | Jan | — | — | 0.40% |
| 02/14/2018 | Business Inventories | Dec | 0.30% | — | 0.40% |