May 4, 2020

–Well, stocks are lower as is oil, with ESM below 2800 (-28) and CLM0 -1.35 at 18.43.  Still a long way from zero though.  Interest rate futures pushing a bit higher with a flattening bias.  On Friday the ten year yield was 63.9 and it’s now back to 60.5 with TYM0 again hovering just over the 139 strike, which seems to have gravitational pull.  TYM straddle is 1’01 with three weeks to go.  Although Friday’s 3m libor setting posted a new low just over 54 bps on Friday, EDM0 closed -2.5 at 9963.0 or 37 bps.  Still a fairly wide basis with just under a month and a half to go.

–New recent lows in euro$ calendars from reds back.  Red/green settled at just 7.75 and red/gold at 37.75.  In mid-March red/gold was as high as 61.  Nothing here to indicate a vibrant return to economic growth.  

–I’m not sure what the data releases even mean any more, but this Friday is unemployment and it’s still sort of an eye-opener to see an expected NFP number of minus 21 million.  In my formative years unemployment was always the biggest number of the month.  I worked at Chase on the CME floor at the time, and would be on two phones, as we all would, clamping them to my ears so I could hear above the floor noise that erupted on data releases.  In that time I stood right in front of the front month, and that’s the contract we typically quoted on a data release.  I was on with the Chase swap desk with Kedric, a soft spoken guy.  At that time, during big numbers, I was like the highschool experiment where you take a wire and touch it to the dissected frog leg and it jolts into a phantom hop.  No thinking, just electrical response.  The number came out and he said “Sell 230”.  And I was also doing something for the other line but yelled down, “Kedric you sold 230 at 2”.  He says, “What?”  Me: “Filled at 2…sold you 230!”  And he bursts out into laughter, saying “I said FELL 230.  The payrolls were DOWN 230.”  When he caught his breath, he told me to just cover them.  And I was really glad it was Kedric on the line and he took it so well, because not all people would find it that amusing.  Good thing it’s not this Friday.  Fell 21 million.   

Posted on May 4, 2020 at 5:49 am by alexmanzara · Permalink
In: Eurodollar Options

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