Nov 30. Crypto rollercoaster

–Curve steepened slightly from depressed levels as yields rose.  Tens +3.9 bps to 237.4.  Red/gold pack spread +1 bp to 34.5, but still at the low for the past decade.  Wild action in bitcoin which hit a $2000 air pocket taking it from $11k to $9k but it bounced off the low and is now near $10k.  Total size of the crypto market is about $300 billion with Bitcoin a bit over half.  As a comparison FANG stocks lost $60 billion yesterday.

–Big trade in eurodollars was put roll down, details below.  Overall vol continues to compress.  With just over two weeks to go 2EZ 9775 straddle trade 10 bps (settled there ref 9778.5 in EDZ9).

–Marvin Goodfriend nominated as Fed Governor.  Carnegie Mellon professor; from a BBG piece:

In testimony before a congressional subcommittee in March, Goodfriend spoke of “the Fed’s failure to secure the credibility of its inflation target” and the risks that created for policy and the economy.

–News today includes Personal Income and Spending, both expected +0.3, with Core yoy PCE prices expected +1.4 from 1.3 last.

Trade below was exiting higher strikes, rolling into 20 delta puts (0EM 9762p 25d ref 9786.5, 2EM 9737p 20d ref 9775 and 3EM 9725p 20d ref 9764)

-40k 0EM8 97.875/97.625 put spread with
-40k 2EM8 97.625/97.375 put spread at 14.5
-25k E3M8 97.375/97.25 put 5 x 4 at 21 sold 97.375 put (5x)

Posted on November 30, 2017 at 5:18 am by alexmanzara · Permalink
In: Eurodollar Options

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