Quick notes from Friday
March 4, 2019
–30 year yield closed at the highest level of the year Friday at just over 3.12%. Tens rose 3.1 bps to 2.753%. Jan ’20 Fed funds (FFF0), an indicator for the odds of tightening in 2019, settled at a new low for the month of February at 9759.0, down 3 bps on the day and 1 bp above the current Fed Effective of 2.40%. No hike/no ease.
–This morning rate futures are steady and stocks are higher as an impending US/China tariff deal is close to being inked.
–On Friday there was a new buyer of 65k USM 140/139 put spreads for 8-10/64’s. Yield level of the 140 strike is around 3.33/34% vs Friday’s close of 312.3. Friday also saw new highs in near one-year euro$ spreads. EDH9/EDH0 surged 5 bps to close at +2.0, the only positively signed 1-yr until EDH2/EDH3 which also settled 2.0. Like FFF0, EDH0 gives some indication of hike expectations over the year; EDH9 through EDH0 are all within 2.5 bps of the 9737.5 strike except for EDZ9 which settled 9732.5. EDH0 settled 9738.5. The lowest one-year calendar is still EDZ9/EDZ0 at -14, but that also had a nice rally on the day, +2.5, and week, +4.0. Libor/ois forwards have been compressing for the past two weeks, now around 22 for the next six months.
