July 15. Attack in France

–Another horrific attack in France.  The potential for these assaults on western values and innocent lives is only growing.  Today in the US for example, Day of Rage protests (though not targeted at western values) are scheduled across the country, with this headline in the Washington Post, “Military told to avoid 37 US cities for fear anti-police protests may turn violent.” Here is a link of locations http://www.thegatewaypundit.com/2016/07/warning-day-rage-blacklivesmatter-protests-set-friday-37-us-cities/
–Markets are relatively calm, though Chinese data showed Q2 growth +6.7.  However, WSJ characterized the numbers this way: “Massive stimulus keeps China GDP steady in Q2.”  And Reuters notes that fixed asset investment growth [though at an envious rate compared to the US] slowed in the first half to 9%, the weakest since 2000.  It appears as though gov’t stimulus is supplanting private investment, a concern going forward.
–The yen has continued its plunge and is now at the pre-Brexit level of 105.97 on expected stimulus.  In the US, rates are also erasing the move related to brexit as stocks continue to levitate.  Interesting trade yesterday is a buyer of 35k Blue March 9800/9925 combo for 0.5, buying the put.  Given the flatness of the curve, the trade makes sense, with  EDH0 settling 9868.5.   Spread between reds and blues only 33 bps (the low of the year is 28 bps).  Settles were 3EH 9800p 7.0, 17d and 9925c 6.75, 19d, expiry 239 days March 10, 2017.  There was also a new buyer of 2EM 9800p for 8.0.  Interesting to see longer dated plays for a steeper curve. Ten year yield rose 6.4 to 153.
–July midcurve options expire today.
–News in the US includes Retail Sales expected +0.1, +0.3 ex-auto and gas.  CPI +0.3 with Core +0.2.  Industrial Production +0.2.

Posted on July 15, 2016 at 5:32 am by alexmanzara · Permalink
In: Eurodollar Options

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