April 24. A sigh of relief

–Huge sigh of relief with Macron expected to easily beat Le Pen in the second round of French elections.  Green eurodollars traded -12.5, the euro soared over 109, ESM gapped higher and as of this writing prints +26 on the day.  Implied vol is being hammered as insurance is being exited at fire sale prices.  TYM 126^ settled 1’52 on Friday and the atm 125.5^ this morning is now below 1’30. The front end of the eurodollar curve steepened modestly.  The peak one-year spread is EDZ7/EDZ8 which closed 37 on Friday, traded as high as 41 overnight, and is now back below 40.

–This week features treasury auctions of 2, 5, and 7 year notes.  Obviously, the market is back to building in greater odds for Fed hikes, though it will take stronger US data to really push the needle. July Fed Funds are back down to 9894.5, pushing June’s odds back to around 60%.  One outside market of note: China Shanghai Comp fell 1.4% today.  Markets are a function of global liquidity, and China is apparently acting to quell some of the more speculative impulses.

Posted on April 24, 2017 at 5:22 am by alexmanzara · Permalink
In: Eurodollar Options

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