Dec 18. The ‘curve’ is all in front
–New lows in various yield curve measures on Friday, with 2/10 down to 51.5 bps. Having rolled to March contracts, the new red pack to green pack euro$ spread settled just under 9 bps (8.875) and red to gold pack settled under 1/4% at 23.625. Even using December contracts, these are new curve lows. EDZ7 expires this morning and trades right at the 9837.5 strike.
–To put the flatness of the back end of the curve in perspective, with EDH8/EDH9 at 38.5, one could sell that and buy 4x red/green pack spread (2nd to 3rd year) at a credit of 3.0 (38.5 – 35.5).
–Rates edge higher this morning as stocks make new highs going into year end. Bloomberg notes that the forward dividend yield on stocks is now below the treasury yield for the first time since 2011.
–CME Bitcoin futures started today. Bitcoin trades around $19k currently. According to CME website, just under 700 contracts have traded.
–On yesterday’s weekly note I added a chart from Bianco Research but had a typo in the website address. The correct address is:
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www.biancoresearch.com
Bianco Research, L.L.C. provides qualitative and quantitative macro investment analysis for the institutional investor.
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or use
https://www.biancoresearch.com/?p=151196
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www.biancoresearch.com
Bianco Research, L.L.C. provides qualitative and quantitative macro investment analysis for the institutional investor.
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