Sept 11. What’s the frequency Kenneth?

–The Drudge Report links to a story that FRB 121102 is sending us multiple alien radio bursts.  Trump has threatened tariffs and vowed to protect the borders.
–Yields were nearly unchanged yesterday with a bias towards a slightly flatter curve.  Red/gold euro$ pack spread fell 1 bp to a new recent low of -1.5, with reds down 0.5 and golds up 0.5 on the day.
–EDU8/EDU9 settled at a new high of 65.0 right around previous highs of one-year spreads.  EDU8 expires Monday, and as of yesterday there were still a couple of bps of convergence to libor.  EDU8/EDZ8 settled at a new high of 29.5.  With a hike already priced for September, a spread of over 1/4% indicates that another hike in December is in the cards.  However, the Nov/Jan Fed Fund spread is only 18.5, which projects a 3 in 4 chance of a December hike.  The ‘premium’ in the EDZ8 yield could therefore be related to expectations of widening lib/ois spread into year end; FFF9/EDZ9 edged out by half a bp yesterday to 30.  Worth noting that there was an exit seller of about 40k EDZ8 9750/9737ps at 9.5 covered with EDZ20 futures.  EDZ8/EDH9 settled 16.5. also near the upper end of its range.
–9/11 anniversary today.  Hurricane Florence due to make landfall in next couple of days as Category 4 with storm surge up to 20 feet.
–Shanghai Comp continues to grind out new lows with CNY slightly weaker to the dollar today.  Indian rupee also at new low, with weakness beginning to seep into Sensex, -1.3% today.  A couple of opinion pieces on emerging markets on Bloomberg today, perhaps this bout of weakness is close to running its course. NFIB small business optimism continues to reflect strong domestic conditions, released today at 108.8.  Three year auction today.
Posted on September 11, 2018 at 5:30 am by alexmanzara · Permalink
In: Eurodollar Options

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