Jan 13. Yields edge lower. Protective buying of VIX calls?

–Another quiet day in interest rate futures, though the market is generally accepting the grind to lower yields.  There were some large lifts in near eurodollar contracts, and a notable early seller of over 55k EDU7/EDZ7 calendar spreads at 15 (settled there, -0.5 on the day).  Total open interest in dollars was up 250k.

–Yesterday evening Yellen, addressing a group of educators, said “short term I would say I don’t think there are serious obstacles. I see the economy as doing quite well.”  On Wednesday January 18, she is expected to speak on monetary policy goals in San Fransisco.

–News today includes Retail Sales expected +0.7 and +0.3 ex-auto and gas.  PPI expected +0.3.

–China released trade data from 2016, foreshadowing the trend of global trade in 2017.  China exports -7.7% yoy and imports -5.5%.

–Though it’s not my focus, there apparently has been some chunky buying of Feb VIX 22 calls in the past few days.  Spot VIX is around 11.4 and traded into the low 20’s around the November election.  Open interest in Feb 21,22 and 23 calls: 247k, 148k and 132k, fairly large numbers.  Feb 22c are around $0.45.  Though these options expire mid-Feb, we executed some week-3 mini SP puts yesterday which will cover inauguration festivities (Jan 20 expiration date)

Posted on January 13, 2017 at 5:26 am by alexmanzara · Permalink
In: Eurodollar Options

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