May 18. Bond bids are dispersing

–Yields continue to grind higher with notable weakness in the long end. Thirty yield bond yield pushed to a new high of 3.245%, +3.2 bps on the day. Perhaps also worth mention is that ten year tips closed at a multi year high of 93 bps. While the moves were small, eurodollar calendars also squeaked out new highs. for example, red/gold pack spread closed 20.875, +1 on the day; it hasn’t been above 20 for two months. EDZ8/EDZ9 which had been churning around 32-33 in the early part of May closed at a new high of 41.0. 2/10 treasury spread closed 54.
–Large exit buyer of 100k EDH9 9800c for 1 yesterday vs 9720.5-21.0. Open int dropped in that strike by 50k.
–Not much in the way of economic news today and the early part of next week looks quiet as well. Aside from the inflationary implications of higher oil prices, perhaps bonds are finally facing the cold reality of massive supply.

Posted on May 18, 2018 at 4:46 am by alexmanzara · Permalink
In: Eurodollar Options

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