COT and Euro$ open interest

December 24, 2019

–Yesterday I saw a couple of postings related to the large drop (700k) in spec longs in euro$’s from the last Commitment of Traders (COT) report.  My suspicion is that these changes have to do with 1) the Dec FOMC which indicated that the Fed is on hold for the foreseeable future, and 2) the expiration of December midcurves and futures.  Below, I created a chart using a representative futures contract, EDZ20, with AGGREGATE OPEN INTEREST for all ED futures contracts (green line).  Total OI peaked in 2018 near 18 million as the Trump tax package was enacted.  Since then open int has dropped with every expiration, without being replaced.  Current OI is just under 11 million, a level not seen since Q2 2016.  The last little peak was in September at over 13.5 million; since that time implied vol imploded as well.

–New recent highs in near calendar spreads.  EDH0/EDH1 and FFF0/FFF1 both settled -16.0, more evidence that the market has shaved odds of any ease over the next year.  However, calls are still bid to puts.  For example, 0EH 9812p settled 1.5 while the 9862c settled 3.5 vs 9838.5.

–Yesterday there was a buyer of 50k EDH0 9837/9850c spd 0.65 (synthetic).  Settled 0.5 ref 9822.5.  Yields edged higher on light volume, with tens +1.6 bps to 1.931%.  On the euro$ strip, reds were weakest, closing -3.5 (greens -3.375, blues -2.875 and golds -2.25).  
–Five year auction on this holiday shortened session.

Merry Christmas!

Posted on December 24, 2019 at 4:53 am by alexmanzara · Permalink
In: Eurodollar Options

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