Payroll Friday

October 2, 2020

–Headlines this morning say the market has been “rattled” by the President and First Lady testing positive for covid, but so far, ESZ and NQZ haven’t even approached Wednesday’s lows.  Not much of a rattle. As of this writing treasuries have barely moved with TYZ 139-20 vs a settle of 139-175.  What is perhaps of more importance is that the House passed a DOA stimulus package of $2.2 trillion, about $600b more than the admin is willing to go.  The result may well be no additional fiscal help prior to the election.  Concerns are growing that growth is faltering globally, reflected by weak oil and copper prices.  Today the US employment report is released with NFP expected 875k and yoy earnings expected 4.8% from 4.7 last.  Worth noting that yesterday’s ISM Prices Paid at 62.8 was the highest since late 2018.

–Rates were little changed yesterday with tens 67.9 bps.  The early theme yesterday was continued buying in blue and gold midcurve put spreads, signifying concerns of a steeper curve.  5/30 edged to a slight new high at 118.5.  This spread started the year at 67.  The big hurdle to get over is the double top around 123.  

–NYC credit rating downgraded by Moodys.  This underscores the divide between Dems and Reps as the former want more money for state and local gov’ts.   

–A piece by Reuters yesterday notes sizable hedged call buying again yesterday (Jan and March expiry) in FB, AMZN, NFLX and GOOGL, reminiscent of buying in early August before the startling rally.  If completely hedged this is a more bearish bet as vol will firm on hard breaks.

Posted on October 2, 2020 at 5:01 am by alexmanzara · Permalink
In: Eurodollar Options

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