April 11, 2019

–Trading in rate futures remains lackluster, despite several pieces of news yesterday.  Draghi set the tone early, saying there will be no rate increases through the rest of 2019 (at least).  Euribor futures responded with a solid rally, with the green pack settling +5.0.  ERZ9/ERZ0 closed at 8 bps, just above the low settle from March 27 which was 7.5.  In dollars, EDZ9/EDZ0 settled -30.0, down 2.5 on the day.  

–Libor/ois spreads as reflected through ED vs FF also remain compressed and trending lower.  For example, EDM9/FFN9 settled 18.0 and EDU9/FFV9 19.5.  Both of these actually settled +0.5 on the day, but BAML looking for the spread to further narrow to 15 as t-bill supply dwindles in the short term.

–CPI Core yoy was 2.0%, slightly weaker than expected.  Fed minutes provided no drama.  The ten year note fell 1.8 bps on the day to close 2.479%. 

–Today’s news includes PPI expected +0.3 with Core +0.2, and yoy Core 2.4.–LYFT fell over 7% to 60.12, erasing over 10% of its value; down 16% from the IPO price.  UBER next up to bat.   Taking the investing public for a ride.

Posted on April 11, 2019 at 5:19 am by alexmanzara · Permalink
In: Eurodollar Options

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