BOJ turmoil

January 17, 2023

 –Friday featured pressure on red pack and 2y note, with reds -11.25 and 2y up 9.6 bps to 4.234%.  Curve was flatter with 2/10 down 4 to -72.5 as 10y yield ended 3.51%.  New low in Z3/Z4 SOFR one-yr calendar at -144.5, with U3/U4 still the low at -165.

–BOJ meeting tomorrow with 10y JGB pegged to 50 bps and the market continuing to test higher yields.  Monday morning the yield nearly hit 55 bps.  Uncertainty about the BOJ appears to have spilled over to the US.  On Friday USH settled 130-00, yesterday it was around 129-16 and this Tuesday morning as of writing it’s 129-05.  News today includes Empire State expected -8.7 from last at -11.2.  NY Fed’s Williams speaks later in the day. Retail Sales, PPI and 20y auction all tomorrow.

–Decent buyer of SFRU3 9500/9525/9550 call fly 13.5 to 14.5 in 15k Friday.  SFRU3 settled middle strike 9524, and that’s where the buyer would like to see it freeze.

–Bitcoin took a jaunt over the weekend up to 21k and has maintained that level into this morning.  When administrators seize the collateral from Ponzis they blow it out (to 16-17k).  Then, there’s no one left to sell.  Let’s all channel our inner Caroline Ellison and just buy… and yes, I am holding a long position in some otm BITO calls, and am shamelessly hoping BTC rallies further.   $/yen currently 128.82, stabilizing in front of BOJ after last week’s drubbing. 

Posted on January 17, 2023 at 5:15 am by alexmanzara · Permalink
In: Eurodollar Options

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