Back to 2016

July 2 2019

–Curve flattened slightly as the stock rally to new highs marginally tempered enthusiasm for aggressive rate cuts.  Implied vol in dollars smoked. with most straddles down 2-3 bps.  As an example, there was a new 10k block sale of 0EH atm 9837.5 straddle at 50.0 (down 3 on the day; settled 50.5).  Mfg ISM was slightly better than expected at 51.7 but prices and new orders continue to sink.  More and more data points are re-visiting levels from 2016, when routs in oil and emerging markets had sent yields to new lows. Strength seen in 2018 as a result of the tax package stimulus has now faded.  Also worth noting that S Korea exports, known as the canary in the coalmine, fell 13.5% yoy.  And that the bund has a yield of -36 bps as the ECB readies new support for the economy.     

–Hong Kong protests have gone into high gear.  Too early to tell how it plays out, but it’s another issue in the US/China relationship. 

Mfg ISM and Prices
S Korea Exports yoy
Posted on July 2, 2019 at 5:16 am by alexmanzara · Permalink
In: Eurodollar Options

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