Nov 15. China credit slowdown to reverberate?

–Another new high in the 2y yield at 168.7, up just 0.4 bp but the only yield on the treasury curve that was higher.  Ten year fell 1.7 bps to 238.1.  2/10 closed 69.4, right on top of the low of 68. 5/30 made a new low of 77.6 bps.  5/10 down to 31.8.  Dollar index hit yesterday, but base metals took a tumble as well, with copper (HGZ7) down to 306.5.  EUR soared, and erased the entire loss from the ECB meeting of 26-Oct.

–Interesting big late trade in dollars, a buy of 150k EDF 9837/9850 cs for 1.25 vs 9830.5.  Open interest in 9837.5c was up 99k, 1.50s and 0.25s.  EDH8 +2.5 this morning at 9832.5

–PPI was an upside surprise at +0.4, with yoy core +2.4.  Today CPI expected +0.1, Core +0.2 and Core yoy at 1.7%.  Retail Sales as well, expected 0.0, ex-auto and gas +0.3.

–While stocks fought back from an early swoon yesterday, ESZ is now slightly below yesterday’s low, portending a day of tough sledding.  The Sept/Oct seasonal sell-off is coming late this year.

–There are a few stories about China’s credit growth slowing, just as the ten year pushed above 4%.  Many commentators suggested a period of calm going into the National Congress meeting, but with that event now in the rearview mirror, we appear to be in the early stages of unwinding, which could get ugly in a hurry.

Posted on November 15, 2017 at 5:19 am by alexmanzara · Permalink
In: Eurodollar Options

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