July 21, 2017. On the MOVE….lower

–Both the MOVE index and DXY closed at a new low.  The former (ML Volatility Estimate, yield curve weighted avg of normalized vol on one-month treasury options) closed at an ALL TIME low of 48.25.  As a point of reference, the high in 2008 was 264.0.

–EUR was trading late at 116.30, highest since August of 2015.

–Euro$ spreads in general continued to compress.  EDZ7/EDZ8 settled 30.5 but was 29/29.5 late in the electronic day.  Jan’18/Jan’19 FF spread settled 25.5.  One hike a year…but is that going to be the case with a potential new Fed composition?

–Jobless Claims at 233k yesterday and continue to trend lower (that part of the Fed’s mandate is fixed).  No economic news today, but August treasury options expire.  TYQ 126c still have 91k open interest.  The peak strike in TYU is the 127c with 161k open.  FOMC next week on July 26.  Just a reminder, there are now TY options that expire on that day, week-4 July Wednesday…the 126^ settled 28/64’s ref 126-02.  About 1k open.

–It was in the year of Q1 2014 to Q1 2015 when the eur/usd adjusted lower, from 140 to 105 as the ECB poured on the gas.  Perhaps the fx move was the true stimulant for the eurozone.  What happens now, on a new bout of EUR strength?

Posted on July 21, 2017 at 5:28 am by alexmanzara · Permalink
In: Eurodollar Options

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