Nothing’s gonna touch you in these golden years

March 25, 2020

–DJIA jumped 11.4% and SPX +9.4% yesterday in anticipation of the $2T gov’t stimulus deal, which reportedly will be passed today.  As of this writing stocks have built on gains with ESM0 +58 at 2496.00.  Treasuries are lower with TYM0 177-20, down 1-07 and a cash yield of 85.5.  Curve is slightly steeper.  

–Implied vol in treasuries was crushed yesterday, with the TYM atm straddle going from 4’03 for the 138 line on Monday to 3’07 for the 137.5^ yesterday vs 137-145.   April options expire Friday and the TYJ 137.5^ settled 0’57.  Notable buyer yesterday of 40k TYJ 140/141cs for 1/64, exit trade.  Vol also lower in euro$’s but not as much on a relative basis, for example 3EM 9937^ settled 36.0 yesterday vs 37.5 for the 9950 strike on Monday.

–At one point gold was up over $100/oz yesterday with a high in GCJ of 1698.0.  The London Bullion Mkt Ass’n is urging the CME to change delivery rules so that gold bars in London can be used to satisfy delivery as physical transport is curtailed; huge spread opened up between futures and spot gold in London.  Not to mention that every governmental authority in the world is trying to debase cash so that debtors can continue to service payments.  You had your day palladium, now it’s gold’s turn.

–Near contracts on the dollar curve are still projecting cash crunch problems.  Yesterday EDJ settled at 98.99, down nearly 10 bps and printing 98.95 this morning or 1.05%.  Still about 20 bps of convergence between EDJ and 3-m libor with 13 trading sessions to go.   

By the way, it’s a little known fact that Soul Train was produced in Chicago on the 43rd floor of the Chicago Board of Trade Building at LaSalle and Jackson. (Thanks for info YZ)

Posted on March 25, 2020 at 5:15 am by alexmanzara · Permalink
In: Eurodollar Options

Leave a Reply