Real rioting; virtual currency

June 2, 2020

–DXY is at a new recent low 97.45 and the long end of the treasury curve is simultaneously pressing to new high yields.  Curve steepened yesterday with 5/30 above 115 (and 1.5 higher this morning).  2/10 closed 50.5, up 1.7 on the day.  Little movement in euro$’s.  Ten year yield ended at 66 bps.  

–Bitcoin is back above 10000 as of this writing.  High of the year has been 10500, the low in March was about 4000.  Looks similar to Nasdaq, except that the decline in BTC was much deeper, and the rally will also likely be much more aggressive.   

–Once again I note large buy last week of EDM’21/EDM’22 for 6 bps.  Settled yesterday at 5.0, while the THREE-MO spread EDM’23/EDU’23 settled 4.0.  Back end of curve is where the steepening bias is as Fed officials forwardly guide the near part of the curve to zero.  This is making US vol a bit perkier than nearer contracts.  

Posted on June 2, 2020 at 5:19 am by alexmanzara · Permalink
In: Eurodollar Options

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