August 7, 2020

–Unemployment Friday, expected to be an increase of 1.48 million vs the blockbuster 4.3 million in the last report.  Rate expected to decline to 10.5 from 11.1%.

–Not much to comment on in the rate world.  Tens fell 0.5 bp to 53.5.  Libor/OI proxy FFF1 vs EDZ0 settled 21 bps, lowest since early Feb.  Range from mid-April to late July was 25 to 30, but the Fed’s CB swap line extension at the July 29 FOMC caused immediate compression.

–August ED midcurves settle one week from today.  3EQ 9975 straddle settled 5.0 vs 9972.5 in EDU’23.  Amazingly enough, this contract hasn’t had a daily range greater than 5 bps since June.  Talk about being in quarantine.

–Precious metals continue a spirited run with spot gold above $2050.  People often say there’s no yield on gold, but Aug gold yesterday settled $2051.50 and Aug 2021 settled 2103.20.  Take delivery and store the physical for ~2.4% over a year.  Or, you could collect 11 bps on the US 2y note.

–Stocks a bit lower on Covid, TikTok, WeChat, Congressional stall.  Nasdaq has been higher 7 trading sessions in a row.  Morgan Stanley covered a dollar short citing oversold conditions; DXY seeing a bounce.

Posted on August 7, 2020 at 5:56 am by alexmanzara · Permalink
In: Eurodollar Options

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