Aug 5. Subdued activity Monday as stocks rebound

–Quiet day Monday with continued outperformance to the upside by green euro$’s (+4.0 on the day while golds were +1.375).  Ten year yield edged lower by 1.5 bps to 249.  Stocks rebounded modestly, though Nikkei had also bounced on Monday, but has resumed lower today (-150).  A couple of notable put sales in dollars.  EDM5 9925p sold in size of 20k at 6.5 covered from 9946 to 9945.  Appears to be new, there is already sizable long in 9950/9925p 1×2, so adding to shorts in the lower strike.  Short red Dec 9912/9850 p 1×2 was sold at 16.0, 5k, appears to be exit.
–Peak one year calendar spread continues to be EDZ15/EDZ16 at 106.0, down 2 on the day.
–Today’s news includes ISM Services expected 56.5 and Factory Orders expected +0.5 from -0.5 last.
–Implied vol pressed lower. FVU 119.25 straddle at 32.5 is just 2.3, near the lowest level for fives this year. FVV is 2.7.
–India’s central bank left short rates unchanged, as expected, at 8%. India’s stocks are up about 20% since the start of the year.  Fairly stark difference between developed economies that are addicted to ZIRP and QE, and emerging economies that function with much higher funding rates.

Posted on August 5, 2014 at 5:17 am by alexmanzara · Permalink
In: Eurodollar Options

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