CPI on Tuesday

Sept 13, 2021

–Stocks rebounding slightly this morning after having closed on the week’s low Friday, off about 75 bps on the day.  Fixed income also closed lower with the curve steepening; red/gold pack spread rose 4.5 to 106.625. (This is new pack spread as EDU1 expires today and December contracts become the lead contract in each pack).  2/10 ended the week at 112.4, up 3.7 on the day but only 1 on the week.

–Implied vol in treasuries remains under a cloud, near the low end of the range with TYZ 3.9.  October options expire one week from Friday.  With TYZ having settled 133-05 Friday, the TYV 133.5/134 call spread settled 10.  Still a large outstanding position of about 100k in this call spread, bought mostly for 10.  Large seller of 30k 2EZ 9900/9937 strangle on Friday at 15.0.  The put settled at 13.25 with 51 delta vs 9899 in underlying EDZ3.  

–Crude oil up $1 this morning to 70.73.  CPI released tomorrow.  As noted by White House economists, Case Shiller has risen by a sizzling 18.6% in the past twelve months, and is just now starting to show up in CPI data.  According to the SSA, “In 2021, an average of 65 million Americans per month will receive a Social Security benefit, totaling over one trillion dollars in benefits paid during the year.”  Tack on another 5% or more for Cost-of-Living-Adjustments, which are based on CPI. https://www.whitehouse.gov/cea/blog/2021/09/09/housing-prices-and-inflation/

Posted on September 13, 2021 at 5:44 am by alexmanzara · Permalink
In: Eurodollar Options

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