Nov 3. US/Russia election accusations

–Vol crushed across the curve yesterday as Powell was named Fed Chair in front of this morning’s post-hurricane jobs report.  NFP expected 310k with a rate of 4.2% and Avg Hourly Earnings +2.7% yoy.

–Almost all eurodollar straddles lost 1-2 bps.  For example, EDH8 9837^, M8 9825^, U8 9812^ strip settled 63.5 on Wednesday, but traded down to 60 yesterday and settled 60.5.  EDU8 9812 straddle was 29 on Wed and settled 27.5.  USZ (Dec bond) vol closed sub-7% at 6.9.  Premium of just over 2 points on atm 153.5^ represents around 10.5 bps.  Treasury curve sank to a new low with both 2/10 and 5/30 at the lowest levels since 2007.  I marked 2/10 at 73., down 2 on the day, and 5/30 at 82.9, down 1, but it was printing 82.5 late.

–A couple of straddle indications: one week ago on 25-Oct, EDH/M/U straddle strip was 68.0 (60.5s).  EDH9 9800^ was 44.5 settled 41.0.  0EU 9787.5^ was 46.5, settled 42.0.

–BOE historically raised rates, but the gilt yield unceremoniously fell 10 bps to 1.26%

–New record high in AAPL around $900 billion, or put another way, about 5% of US GDP.

–Get ready for a new set of accusations regarding US/Russia election meddling.  The other way.  Elena Berkova, a porn star from Murmansk, is running against Putin.  Article in the Daily Mail.

Posted on November 3, 2017 at 5:20 am by alexmanzara · Permalink
In: Eurodollar Options

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