–5/30 closed at a new low of 28.5. CPI was lower than expected but the NY Fed’s Underlying Inflation Gauge made a new high in April, with the ‘full data set’ at 3.20 from March’s 3.15. ‘Prices only’ increased from 2.23% in March to 2.29% in April.
–Once again near euro$ calendars edged to new highs. Peak 3-month is EDU/EDZ which closed +0.5 at 17.0. The peak one-year June’18/June’19 closed 53.5, +1.5 and closing in on the constant maturity high of 60.5. Sept/Sept also posted a new high of 46, +0.5 on the day.
–Implied vol pounded into submission. TYN 119 straddle settled 1’05, just 3.3. Perhaps today or Monday it will flirt with 1 point with around 40 days to go. Quite early. May midcurve options in euro$’s expire today. While EDM9 was 9711.5 bid, there was a seller of 0EK ^ at 2.0. EDM9 settled at 9710.5, giving market makers a slim glimmer of hope. If bought futures at settlement then left with free calls. Which will expire worthless.
–EDU8 9750 straddle settled at new low of 12.0. With EDM 9764, if anything happens to derail a Sept FOMC hike following June’s, then the call ought to settle above 12. If the Fed is set on the path of quarterly hikes, then 9737.5/39.0 is reasonable.. Actually seems worth buying a Sept/Dec or Sept/March straddle spread. Sell EDU at 12 and buy EDH 9725 at 26?

Posted on May 11, 2018 at 5:16 am by alexmanzara · Permalink
In: Eurodollar Options

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