May 13. Crickets
–Another light volume day Monday, though yields rose as stocks levitated to new highs. Ten year yield rose about 3.5 bps to 265.6. Red/gold pack spread up 3.125 to 253, right around the middle of last month’s range of 244 to 265.
-There were a couple of large trades yesterday. Buyer of TYM 124.5/125cs vs TYN 123.5/124 cs for 1/64 credit, selling July. This might have been a roll, but taken on its own merit might be worth a trade as the June call spread could easily fill out by expiration (one week from Friday), while the July wouldn’t, especially if the rally went just over the top strike in TYM.
–The other large trade was Green June 9837/9825/9812 put butterfly 1×2.5×1 in size of 40k x 100k x 40k, which appears to be a roll up trade. 2EM 9837 straddle settled 19.5, probably a reasonable level with one month to go given lack of movement.
–The widest one year spread remains EDZ15/EDZ16 at 114.5. For the past month this spread has only had a 10.5 bp range from 109 to 119.5. The area from 120-124 appears to be an insurmountable hurdle in the current environment.
–New today includes US retail sales expected +0.4. Data from China, production and retail sales, was lower than expected, calling into question the growth goal of 7.5%.
