Friday’s tweets shaken off

August 27, 2019

–The plunge on Sunday night in stocks completely reversed as the day progressed with ESU closing in the green by 27 points, having been down 45 near Sunday’s open.  Then ten year yield overnight fell to 1.44%, just 8 bps above the all time low from July 2016; at futures settle it was 1.544%, up 2 on the day.  JPY traded as low as 104.46 but was 106.10 late Monday. 

–Monday’s settlements featured new lows in near euro$ one-year calendars.  EDU9/U0 -72.75, EDZ9/Z0 -52.0.  Post settle these spreads eased further, to -73.75 and -53.0.  The 3-month spread Dec9/March0 also closed at a new low of -28, trading -29 late.  Last year, Dec/March declined from +20.5 in October to -4.0 by expiration, a large move for a 3-month spread.  In this cycle, the spread was -10 in May and has fallen 18.5 bps to -28.5 currently (with more to follow).   

–A lot of call buying and put selling on EDH0 yesterday.  Largest trade was a new position: +50k EDF0 9875/9900 call spread vs -50k EDF0 9825/9812 put spread for 1.5 debit, settled 4.5 and 2.5.  Also a buyer adding to EDH0 9925 calls which settled 4.0 vs 9845.5, OI +23k. And a seller of 20k EDH0 9825/9812 put spread at 4.0

–Not much in the way of economic news today.  Two year notes are auctioned and the Conference Board’s Consumer Sentiment is expected 129 from 135.7.  This data series has been in a long uptrend from 2013, with the last reading near an all time high. (Looks just as frothy as it did just before the Nasdaq crumbled at the turn of the century).  

–Interesting tweet from David Rosenberg of Gluskin Sheff regarding Chgo Fed’s Nat’l Activity Index (out yesterday at -0.36):
“The 85-variable Chicago Fed NAI just came out and was negative for the 7th time in the past 8 months.  All 4 major categories contracted in July – only 6% of the time this happened in an expansion, but 62% of the time it has happened in a recession.  Is it quacking like a duck yet?”

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Conference Board’s Consumer Sentiment
Posted on August 27, 2019 at 5:17 am by alexmanzara · Permalink
In: Eurodollar Options

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