At least the ads are over

November 4, 2020

“The Associated Press will not predict a winner of the presidential election. It will not even name an apparent or likely winner. The A.P. will make the call only when it is certain — just as it has in every U.S. election since 1848, when Zachary Taylor won the White House.”

“Over? Did you say ‘over’? Nothing is over until we decide it is!” -Bluto

–On a Biden victory, I thought Russell should get hit relative to SPX.  Since that’s what is happening right now, RTYZ0 -37.00 and ESZ unch’d, I guess I will fit the narrative to my original theory and figure that Biden has prevailed.  However, I can’t quite account for the bond rally besides noting that positioning seemed heavily weighted to the short side (which will ultimately prove out, in my opinion). Treasury refunding announcement today, as a small reminder of massive supply.

–The seller of 50k TYZ 138/137ps delta neutral first thing yesterday morning has a nice trade with TYZ 138-24 vs settle of 138-03.  Likewise the previous buyer of 50-60k TYZ 139/138/137.5 put trees for 3 to 5 a week and a half ago appears to have pegged the market with a current quote of 18/20 vs  138-23+.  Finally the seller of 45k in a couple of clips of TYF 136.5/139.5 strangle at 44 and 40 has come back from a deficit during the day yesterday to victory this morning, with a mid-market of 35.  Vol has been pummeled with TYZ 138.75^ 1’00/1’02 vs settlement of atm 138^ yesterday of 1’20.  The curve is flatter this morning, having gone into election day with most measures near the high of the year.

–2020.  It’s not over yet.

Posted on November 4, 2020 at 5:16 am by alexmanzara · Permalink
In: Eurodollar Options

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