Quick notes from Friday

March 4, 2019

–30 year yield closed at the highest level of the year Friday at just over 3.12%.  Tens rose 3.1 bps to 2.753%.  Jan ’20 Fed funds (FFF0), an indicator for the odds of tightening in 2019, settled at a new low for the month of February at 9759.0, down 3 bps on the day and 1 bp above the current Fed Effective of 2.40%.   No hike/no ease.  

–This morning rate futures are steady and stocks are higher as an impending US/China tariff deal is close to being inked.  

–On Friday there was a new buyer of 65k USM 140/139 put spreads for 8-10/64’s.  Yield level of the 140 strike is around 3.33/34% vs Friday’s close of 312.3.   Friday also saw new highs in near one-year euro$ spreads.  EDH9/EDH0 surged 5 bps to close at +2.0, the only positively signed 1-yr until EDH2/EDH3 which also settled 2.0.  Like FFF0, EDH0 gives some indication of hike expectations over the year; EDH9 through EDH0 are all within 2.5 bps of the 9737.5 strike except for EDZ9 which settled 9732.5. EDH0 settled  9738.5.  The lowest one-year calendar is still EDZ9/EDZ0 at -14, but that also had a nice rally on the day, +2.5, and week, +4.0.   Libor/ois forwards have been compressing for the past two weeks, now around 22 for the next six months.

30 year treasury yield; 50% at 3.18
Posted on March 4, 2019 at 4:58 am by alexmanzara · Permalink
In: Eurodollar Options

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