New life for bitcoin as EUR looks dodgy

April 2 2019

–Yields rose yesterday as economic data on balance was stronger than expected, starting with China’s Mfg PMI.  US Retail Sales were weak at 0.2 with Core -0.6.  However, ISM Mfg was better than expected at 55.3.  The narrative of a seasonally weak Q1 followed by a rebound seems to have taken hold (though last year it was helped by the tax package and inventory hoarding in front of tariff fears, and this year it’s difficult to see the same sort of catalyst). In any case, reds through golds on the eurodollar strip more or less had a parallel shift lower of 7 to 8.5 bps.  The ten year note also jumped 8.2 bps to 2.494%, almost a test of the original Jan 3 spike low at 2.52%.

–The first three one-year eurodollar calendars are now clustered at – 1/4%, at -26, -25 and -24.  Fed fund spreads show a bit less enthusiasm for near term eases, but are content to price one ease this year. There was notable buying yesterday of USM puts, with the 144 and 143 strike bought in size of about 20k each (open int fell 10k in both).  Early prices in the 144’s were 10 to 13 above 149-05; late in the day the market was 16/17 with the contract a point lower.  There was also a new buyer of 40k USM 132 put for 2, which was 2 bid late.  

–This morning bitcoin is back in the news having surged over $5000 before falling back.  I guess some people would rather be in bitcoin than euro, which is back near the lows, just above 1.12.  A natural beneficiary should be gold, which is dead in the water at present.  Oil on the other hand, continues to make new highs with CLK above $62/bbl this morning.–Data this morning includes Durables expected -1.8% with Core Capital Goods Orders expected +0.1.   

–With nearly all eurodollar midcurve straddles at the 9775 strike, it’s interesting to note that reds have the highest nominal straddle prices.  Short red to green straddle spreads had been trading with greens over; that has recently flipped.  Perhaps a sign of greater near term volatility in general.  

Posted on April 2, 2019 at 5:20 am by alexmanzara · Permalink
In: Eurodollar Options

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