Gold grinding to new high

July 8, 2020

–Gold turned around and closed on a new high yesterday, now testing old highs from 2012.  The peak was in Sept 2012 at 1921, but 1800 is a big level and spot is just above that price this morning.  GCQ0 settled 1809.90.  

–Rates are dead in the water in spite of ten year auction on today’s docket.  Ten year was 64.8 late, down 3.3 on the day.  W/I was 65.5/65.0.  Blue July 9962.5 straddle which expires Friday closed at just 3.5 ref EDU23 9964.5.  The put is currently 1 offer vs 64.5 bid, which seems to me to be a cheap hedge against the ten and thirty year auctions.

–Buyer yesterday of 8k 2EU 100/100.37c spread for 1.5 ref 9978.5 in EDU’22.  Settled 1.25 (1.5 and 0.25).  Two months until expiration.  

–On Friday July 3, three month libor set at 27.588 bps, lowest since early 2015.  On Monday it was 27.650.  Fed Effective EFFR was 9 bps Monday and SOFR was 10.  Both have edged up a few bps from early June, but there’s little sense of pressure for the July 15 tax date which is also the settlement date for this week’s auctions.  One month libor is just above 16.5 bps.  

–Russell 2k had a bad close …new low for month of July.  Not so for SPX or for Nasdaq.  Russell seems to be a bit more sensitive to actual economic news while Nasdaq is all about liquidity.  

Posted on July 8, 2020 at 5:15 am by alexmanzara · Permalink
In: Eurodollar Options

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