March 12, 2020

–A Bloomberg headline says it all: ‘Trump’s error-laden foreign virus speech has investors spooked’.  Travel between US and the EU will be curbed.  Companies are tapping credit lines to stay afloat.  CME will close trading floor at the end of Friday.  NBA suspends season.  Stocks are at new lows this morning.  

–Yesterday’s session featured a rise in treasury yields.  I marked cash tens up 5.2 bps at 82 bps and 30’s up 6.8 at 1.317% at futures close.  However, the basis became unhinged with TYM0  DOWN 7.5/32 at 137-125, USM0 UP 30 at 180-17 and WNM0 DOWN 31 to 220-12.  The cash bond 2.0% of 12/15/50 went from Tuesday’s mark at futures settle 118-05+ to yesterday’s 117-01, while futures went the other way, USM 179-19 on Tuesday to yesterday 180-17. Just another dislocation that is causing severe pain.  30-year bond auction today. There is and will be a major decline in liquidity in rate products.

–All euro$ calendars are surging to new highs.  Red pack (2nd year) closed UP 3.625 bps and golds (5th year) closed DOWN 3.75.  Red/gold pack spread which had been closely mirroring 2/10 made a new recent high of 43.375 bps.  2/10 was up 4.5 bps to 32.8 (recent high was 35.4).  April FF made a new high settle of 9970.5, but are up another 13.5 at 9984 this morning, just 16 bps.  I thought the Fed would be able to hold out until next week to ease at the (teleconferenced??) FOMC, but it might happen today.  

Posted on March 12, 2020 at 5:08 am by alexmanzara · Permalink
In: Eurodollar Options

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