A bid for long dated USD assets

January 22, 2020

–Stocks are at new highs this morning, shrugging off concerns about the Wuhan flu.  Negotiators say there are o immediate plans for US/China Phase 2 talks (probably until this whole pandemic thing blows over).  Treasuries have barely given back any of yesterday’s gains.  Tesla has exceeded $100 billion in market cap.

–Tens fell 6.5 bps yesterday to 1.769%.  On the euro$ curve, reds through golds were up 6 to 7 bps, with marginal outperformance by blues (4th year out).  While calendars didn’t change much, there were new lows posted in a few of the near one-years, for example, EDM0/EDM1 settled down 3.5 at -19.  The first, and lowest one-year is still EDH0/EDH1 which settled -25.0, down 4 on the day; still leaning toward one Fed ease over the next year.  Jan20/Jan21 FF are on the same page at -22.5 (-3.75).  Implied vol better bid across the curve, but still at low levels.

–The fixed income market is reflecting concerns about the coronavirus with yields under continued pressure, but perhaps stocks are reacting to the same thing in the same way: a bid for long dated dollar based assets.  DXY has firmed since the recent low made at the end of last year.

–Chgo Fed Natl Activity Index was a strong 0.56 last, expected 0.13 today.

Posted on January 22, 2020 at 5:05 am by alexmanzara · Permalink
In: Eurodollar Options

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