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.
