May 11, 2022

–CPI today expected 8.1% yoy from 8.5 last.  Core expected 6.0 from 6.5.  Curve bull flattened yesterday in front of today’s 10y auction with the 10y yield down 9 bps to 2.989% and 2s up 1 bp to 2.625%, as various Fed comments indicate comfort with the idea of at least two more consecutive 50 bp hikes, and an open door to 75.  EDM3 rallied 3 to 9660.0 (still the lowest priced contract on the strip). 

–May midcurve options expire Friday.  0EK 9662.5 straddle with just three days until expiration is 16.5.  With EDM3 settling 16.5, breakevens are 9646 to 9679, a huge range, and an indication of how skittish the market is.  It wasn’t too long ago that the atm expiring straddle on the first red would have been around 5.0.  There have been several articles recently about diminished liquidity, which isn’t at all surprising given straddle levels.  In fact, long dated red and green straddles tacked on 2-3.5 bps yesterday in what was a fairly quiet session. Fed officials can’t seem to read from the same script even after the Chairman laid out the outline.  And then they are scratching their heads over less than optimal market conditions.  Another CONUNDRUM.  

–Not sure where I clipped this, probably from BBG:

Nursing losses in 2022 that are worse than the rest of the market’s, amateur investors who jumped in when the lockdown began have now given back all of their once-prodigious gains, according to an estimate by Morgan Stanley. The calculation is based on trades placed by new entrants since the start of 2020 and uses exchange and public price-feed data to tally overall profits and losses.

 This particular snippet cites AMATEUR INVESTORS.  I guess we can also include for good measure, Tiger Global, ARK funds, Softbank, etc.  

–The top story on BBG website this morning is: TerraUSD stablecoin plunges as crypto market awaits rescue.  I’m afraid that I don’t know what terracoin is, but I did pull up this handy link that shows total market cap of crypto was around $2.8 trillion in November, and is $1.6 trillion 6 months later.

Here are a couple of other amusing twitter links.  It was all so EASY back then….

TikTok Investors on Twitter: “What could go wrong?”What could go wrong? 16 Feb
$2.8T in Nov to $1.6t now

Global Cryptocurrency Market Charts | CoinMarketCapThe above graph shows the individual proportions of the largest ten cryptoassets relative to the total market capitalization of all assets. Since BTC was the first asset, it has remained the largest by market cap, which is why it’s dominance in the market is a number that many people follow. We describe the assets tracked in this chart as cryptoassets because it includes tokens and
Posted on May 11, 2022 at 5:29 am by alexmanzara · Permalink
In: Eurodollar Options

Leave a Reply