Above is a snapshot of red/green pack spread in ED’s.  (Second panel is reds/golds). Red/ green settled -7.625 bps, the lowest since the year 2000, (pressured in part by Y2K concerns).  Of course, March is going to roll off the board In a week and a half, but the NEW red/green pack spread is still -4.25.  In the US, there is talk of letting the economy ‘run hot’, the idea of further rate hikes has nearly been eliminated. B

Some of the current price action may be influenced by the idea of ECB engaging in new TLTROs. 

The second panel is red/gold pack spread.  Same idea as red green, except that at the end of the year it rallied from -5.625 to +22.25 as stocks were imploding (and the Fed had just hiked in the middle of Dec).  That spread is now around 8 bps, halfway back. 

Posted on March 6, 2019 at 9:57 am by alexmanzara · Permalink
In: Eurodollar Options

Leave a Reply