June 30. Just one hike…

–Even as the Euro rebounded to close up on the day at 112.41, from a low of 109.55, US stocks sold off.  The curve bull flattened, with the ten year yield down 14.4 bps at 233, while 2’s fell 7.5 to 63.3 and 5’s down 13 to 162.3.  There was a heavy buyer of 30k FVU 117.75 puts (11.5s, 18 delta, adding).  There was also an aggressive seller on blocks of 65k EDU5 at 9961.5 to 9962.0; open interest increased by 31k.  EDU5/EDZ5 3 month calendar closed at a new low of just 16.5 bps.

–I suppose if Greeks vote to accept the program, (saving deposits but further cutting pensions) there will be a new gov’t.  I’m not so sure that’s bullish for the euro.  However, it would probably keep the Fed on track to tighten in September.  Uncertainty about the amount of Fed action has increased, with barely one hike priced for the rest of the year.  For example, January 2016, Fed Funds settled 9965.5, just 21 bps higher than the current July contract.  And EDZ5 settled 9946.5, essentially 1/4% higher in yield than the June eurodollar contract that expired earlier this month.

–From the floor open, there was some selling of TY vol, the Aug 126^ for example, was 148/150 before the floor open at 126-05, was immediately sold down to 143 but came back to close 149/50 at the end of the day, right where it had opened.  New high recent closes in treasury vol.  ATM USU straddle settled 5’62 on Friday but 6’26 yesterday (of course, the contract was up 3-11).  VIX had a nice push higher to 18.85 (+4.83 on the day) but it’s worth noting that the October swoon took the VIX on a spike high to over 30, and the December re-test saw a brief blip to 25.  Both the Dow Transports and Composite closed at their lowest levels since last October, though there’s a good deal of distance to the actual October lows.  For example, COMP closed at 6092, vs Oct interday spike low of 5667. The SPX (-2.1%) is nowhere near the year’s low at 1980, however it is right at the 200d ma at 2053, and bouncing this morning.

Posted on June 30, 2015 at 5:10 am by alexmanzara · Permalink
In: Eurodollar Options

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