May 29. Whatever it takes?

–Eurozone stress is the dominant theme, with the Italian bank index (IT8300) plunging; it’s down over 20% in the past two weeks.  Deutsche Bank this morning is sub- €10, a new recent low and down nearly 40% from the start of the year.  And it’s not just Italy, with Spain’s Rajoy facing a no-confidence vote on Friday.  The energy patch is also seeing volatility.  I mentioned that WTI Crude posted a large outside range week and closed on the low on heavy volume.  Lower this morning with Russia/ Saudi indications of increased supply.
–On Friday I had thought there was a chance of a large exercise in the expiring TYM 120c that might cause a flurry of buys on Sunday evening.  (Late Friday TYM had ticked right up to the strike). While the market did move a bit higher, a market maker informed me that he had been exercised on less than 2% of outstanding short calls.  So the idea was incorrect, but if anyone DID exercise and held on, they’re half a point in the money currently.
–Eurodollar curve is flattening on a flight to safety bid.  EDZ8/EDZ9 again flirting with the 29/30 support area, now 31.0, having closed Friday at 33.5.
Posted on May 29, 2018 at 5:21 am by alexmanzara · Permalink
In: Eurodollar Options

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