Dec 13. Quick note

–Yields pushed a bit higher yesterday with a slightly steeper curve; tens +2.2 bps to 290.4.  Volume was fairly light, though there was a seller of 50k TYF 120 calls on exit, as open interest fell 30k.  TYF 120c settled 28 vs 120-075.  30 year bond auction today.  

–December euro$ midcurve options expire Friday with 9712.5 the strike of choice.  Largest remaining open interest that has a shot is the 9700 strike.  0EZ 9700p have 294k open ref 9705.5.  In the greens, both the call and put have significant open positions, with calls at 267k and puts 250k ref 9714.  By comparison the 2EZ 9712 call and put have 71k and 62k.  

–No bounce in crude oil with CLF9 still below 51 (slightly lower this morning).  Minor bounce in GBP despite May winning the no confidence vote.  Soybeans also see only tepid buying despite China purchases.  Markets don’t appear to be enthusiastic about embracing ‘good’ news.–ECB meeting today ends asset purchases.  

Posted on December 13, 2018 at 5:13 am by alexmanzara · Permalink
In: Eurodollar Options

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