Payroll day

Sept 3, 2021

–NFP expected 750k with limited price changes in rate futures yesterday.  Eurodollar strip flat to +1.  Tens fell 1.6 to 1.284%.  Premium selling in front of payrolls and the long weekend, with both 131p and 135.5c showing open interest gains of 15k on a strangle sale; puts settle 19 and calls at 22 as the contract hugs 133.5.  

–China’s Evergrande was at 16 in March, now less than a quarter of that at a new low this morning below 4.  Every credit event seems to be absorbed globally with endless liquidity, so HK3333 may not be important.

–On the last employment report TYZ settled 133-12 with the Oct 133.5 straddle at 1’48 and the atm Sept straddle was 1’08.  Now futures are 133-15, and the Oct 133.5^ is 1’04, just a bit below where Sept was a little less than a month ago.  Since Powell’s JH address, futures have held gains in a tight range, but I would say price action argues for a back-and-fill closer to 133-00 if the data is about as expected.

–Sept’22 short sterling is trading around 9955 currently, having been above 9990 in January.  Yesterday there was a buyer of ~100k L U2 9900p for 3.25.  Maybe the Bank of England can restore some sanity regarding monetary policy…

Posted on September 3, 2021 at 5:02 am by alexmanzara · Permalink
In: Eurodollar Options

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