Treasuries Reached ‘Extreme Overbought Territory,’ JPMorgan Says
- Call/put options model on 10-year Treasury futures has soared
- Move follows slump in liquidity, extreme price swings
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U.S. Treasuries reached “extreme overbought territory” prior to Wednesday’s rebound in yields, according to JPMorgan Chase & Co. strategists.
The conclusion arises from a model whose inputs include the prices of put and call options on the 10-year note futures contract and gives signals based on Z-score, a measure of standard deviations.