JPMorgan's Quants Warn Risks Are Growing for Bond Short-Squeeze
- Kolanovic highlights record short position in Treasury futures
- Risk of ‘proper short squeeze’ in bond futures: Kolanovic
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Investors have become so bearish on U.S. government bonds that they risk getting caught out, according to JPMorgan Chase & Co.’s quantitative and derivatives strategy team.
Short positioning in Treasury futures has climbed to a record, increasing the potential for an unraveling of trades betting on further declines in bond prices, Marko Kolanovic wrote in a note to clients. There’s also been an extreme swing in sentiment, with investors unduly focusing on higher inflation risks, said Kolanovic, who heads the team in New York.