Rates stuck as Powell visits the Senate

–Yields had a slight tilt higher yesterday as the treasury auctioned 2’s and 5’s, with 7’s today.  The ten year rose 1.8 bps to 2.672.  Today Powell is in front of the Senate Committee on Banking, Housing and Urban Affairs for semiannual testimony.

–In rates, a couple of highlight trades: buying of EDM9 9737/9750 c 1×2 for 2.0 (settled there vs 9739.0).  Also, a seller of about 25k TYK 121/124 strangles 24 to 25, settled 22 vs 122-11.5.  TYM 122.5 straddle settled 1’39, at the lows of the recent vol range.  

–Treasury rolls have been active with fives and tens about 2/3rds complete.  

–Stocks gave back an initial surge to new highs on China/US tariff delay and are lower this morning.  WTI crude is stable, having fallen about 1.80 yesterday as Trump complained about the high price.  With the debt ceiling being reinstated by the end of the week, treasury has to draw down balances at the Fed; from what I’ve seen, this might cause flows into banks, driving libor a bit lower.

Posted on February 26, 2019 at 5:06 am by alexmanzara · Permalink
In: Eurodollar Options

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