Pitchforks and Torches
March 22, 2024
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–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
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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.
https://twitter.com/SamanthaLaDuc/status/1770791896559800526
