April 27. Q1 GDP today. Stocks have muted response to good earnings

–General rebound in markets yesterday, with stocks rising on light volume and the ten year yield edging back below 3%.  (closed 2.99).  There continues to be selling of USU puts, with new sales yesterday of 139 puts at prices of 1’20 to 1’23.  The initial sales of the 143 puts were at the same level ref 145-18ish.  USU 143 puts settled 3’09 and 139 puts settled 1’19 vs US 141-17.  The recent rally in vol was erased.

–Jobless claims were only 209k, extremely low.

–Today’s news includes ECI expected +0.7 and Q1 initial GDP estimate, pegged at 2.0 with Prices +2.2.  Atlanta Fed GDP Now is also at 2.0 and NY Fed’s Nowcast is 2.9.

–As mentioned in yesterday’s comments, the big US to German yield curve 5/10 yr spreads appears to have been an exit of 10y US/Bund spread, and moved up the curve to FV vs Bobl.  As shown on the chart below that spread is at a new high of 284.

–Once again there was a late seller of 40k EDZ8/EDZ9 spread at 34.5, which is where it settled.  The other day there was a good size block sale at the same level which was an exit.

–The other aspect of yesterday’s trade was a breakout of EURO, where USD is strengthening. DXY now nearing the high of this calendar year. Likewise with EUR which was 121 at the end fo the day.  Next big support is 200 dma at 120.08.

Posted on April 27, 2018 at 5:21 am by alexmanzara · Permalink
In: Eurodollar Options

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