May 7. Rates sit as other markets fluctuate

–Crude oil above $70/bbl (CLM 70.42, +0.70) as the fate of the Iran deal looks increasingly shaky.  The dollar continues its surge with EUR 1.1925, having been as high as 1.24 in mid-April.  An article on ZH citing BAML notes that S Korean export growth turned negative,  a warning sign for global trade.
–Not much of a market move on Friday’s employment data.  Implied vol remains pinned at the lows without much of a catalyst in sight.  Stocks soared Friday and are a bit higher this morning.
–May euro$ midcurves expire Friday.  SOFR futures begin trading today.  Auctions of 3, 10 and 30 year treasuries may be a challenge this week.
–Back end of the dollar curve is flat, with green/blue pack spread (3rd to 4th years) at only 2 bps.  The six month spread EDZ0/EDM1 is inverted at -0.5.  All contracts through the golds behind EDH20 (which settled at exactly 9700) are within 10 bps of 3%, suggesting the market sees a ‘terminal’ FF rate of 2.5 to 2.75%, essentially 100 bps higher than the current Fed effective of 1.70.


Posted on May 7, 2018 at 5:16 am by alexmanzara · Permalink
In: Eurodollar Options

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