April 23. 3% tens

–An article on Bloomberg (What Global Finance Chiefs are Saying About the Economy) repeatedly cites concerns about a trade war.  Mnuchin floated the idea of a visit to China, which should alleviate some of those fears, yet stock futures are slightly lower this morning after a weak performance on Friday.  The ten year note is at a new low, just under 3%.

–Tens closed Friday at 294.7 (+3.5 bps) but then edged higher after the futures settlement.  Twos and fives made new highs for the move.  The 5y note is approaching the 50% retracement from the high yield in 2007, 5.206% to the low in 2012, 0.54%, which is 2.87%.  Friday’s close was 2.79.  Odds for three more Fed hikes are increasing, with January Fed Funds trading as low as 9774.5 this morning, 56.5 bps over the current Fed Effective of 1.69%.

–Friday featured new recent highs in near one-year euro$ spreads, with the peak EDM8/EDM9 at 46.5 bps.  EDU8/9 also posted a new high at 41.5.  The highest a one-year spread has traded this cycle on a constant maturity basis is just over 60.  Heavy buying Friday of both EDH8 9675p and 0EU 9675p for 1.5 (75k) and just under 3 bps (30k) on Friday.  To pierce that strike in March would require hikes at every quarterly meeting, (including next March).

–Today’s news includes Chgo Fed National Activity Index, expected 0.29 vs 3m average of 0.37, Existing Home Sales, and PMI Composite expected 54.6.  Also, Sohn Conference is occurring, which usually elicits strong investment themes.

Posted on April 23, 2018 at 5:19 am by alexmanzara · Permalink
In: Eurodollar Options

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