New curve highs at quarter end

April 1, 2021

–The quarter ended with new highs in the curve.  2/10 up 0.8 to 158.3.  Red/gold euro$ pack spread (2nd to 5th year) just over 182 bps.  New high for peak one-yr euro$ calendar:  EDH23/H24 and EDM23/M24 tied at 77.5 bps.  This, as Biden announced his massive tax and spend plan for infrastructure and SPX made a new all-time high before a modest pullback into the close.  Implied vol firmed significantly in back dollars, supporting the move towards higher yields and further steepening; straddles up 1.5 to 2 bps.  As examples, 2EU 9800 straddle from 37 Tuesday to 38.5 yesterday.  3EZ 9812^ from 66 to 67.5.  While Friday’s payroll data could change the picture, price action and the curve signal a move to still higher rates.

–Worth a note that May Corn is at a new high this morning 578.  After spending Feb and March bouncing around 530 to 550, a bullish USDA grain report sparked a close above 564, with further strength today.

–Jobless Claims today expected 675k from 684k.  Manufacturing ISM expected 61.5 from 60.8.

Posted on April 1, 2021 at 5:01 am by alexmanzara · Permalink
In: Eurodollar Options

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