Feb 19. I’ll sit this one out
–In the latter half of yesterday’s session gold jumped over $20, treasuries rebounded, yen pushed a bit higher…all normally associated with risk-off. Tens fell 5.7 bps to yield just 1.76. However, stocks held fairly well. Oil pulled back on inventory numbers and is 49 cents lower this morning with CLJ 32.44. In eurodollars the big trade was a buyer of 60k EDZ6 9950/9962/9975/9987 c condor for 2.0, a position for a grinding move higher. Given recent action, I would have just tried to pay 3.0 for the lower call spd (settled 3.0 ref 9923.5) and wait to sell the 100/110.12 cs for 1.0, which will surely happen on the next panic trade…next week.
–All early trades in rates were vol sellers. At the end of last week the Green and Blue March midcurve atm straddles were trading around 30 bps or a bit higher. Yesterday 2EH 9900^ settled 21.0 and 3EH 9862.5^ settled 21.5. It has become a roller coaster ride that is apparently causing some to sit out…open interest in euro$ futures yesterday fell by 91k.
–Walmart was down 3% yesterday as sales were reportedly the worst in 35 years (FT). Of course, AMZN was also down 1.7%. There have been many analysts saying that recent market action has little to do with the underlying health of the economy, but WMT is telling a different story. Isn’t a lower gas price supposed to help strapped consumers buy more?
–March treasury option expiration today. Relatively large open interest at the 130 strike in TYH had me leaning toward a settlement around that level, however, the contract now trades above the 131 strike. News today includes CPI expected -0.1% with Core +0.2%.
