Pitchforks and Torches

March 22, 2024

–April treasury option expiration today.

–Rates showed little net change, weakest SOFR contract was SFRM5, closing -3.5 at 9596.0.  Tens were about unchanged at 4.269 while twos rose 3.2 bps to 4.63%.  

–A couple of large new trades:
In TY Week2 (April 12 expiry) 
+50k 110.75c 0’42 covered 110-23, 50d
+50k 110.50p 0’42 covered 110-18, 46d
Strangle 1’20, settled 1’14 vs 11012+  Call 0’32 and put 0’46

+41k SFRM5 9637.5/9587.5/9537.5 p fly 10.0 to 10.5.  Settled 10.25 vs 9596.0.  Vol lower across the SOFR curve.

–One week from today, 3/29 the CME is closed for Good Friday.  PCE prices are being released, and Powell is scheduled to speak at a moderated discussion at the San Fran Fed.

Other events prior to the week2 Treasury expiration:
Next week auctions of 2/5/7 year notes
4/1 ISM
4/3 ISM Services
4/5 NFP
4/10 CPI and Fed Minutes


Chart on X, posted by Samantha LaDuc

All I can see when looking at the below chart is this:
Pitchforks and Torches

I am not 100% sure I am interpreting the data correctly; it looks like Personal Interest Payments are exceeding wage income.
However, the Y-axis is an ‘Index’.  Not at all surprising that the growth of interest payments is exceeding wages.  Everything is.


Posted on March 22, 2024 at 5:48 am by alexmanzara · Permalink
In: Eurodollar Options

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