Sept 18. Fed dots hawkish; Scotland vote today

The slope of the dots in the Fed’s SEP steepened, so all near euro$ calendar spreads made new highs.   EDZ15/EDZ16 is still the peak, and it rose 2.5 to 111.5, just under the 112.5 strike of the put spread spreads done a week or so ago. (Sold OEX 85/87ps and bought 2EX 73/76ps).  The green pack (EDZ16-EDU17) was the weakest part of the curve, closed -6.0.   However, EDM19 was unchanged and contracts behind it were all up on the day.  Gold pack closed nearly UNCH.  5/30 treasury spread closed 156, -2.  Five year yield was 182 late in the day, still hasn’t quite taken out the high from last September of 185.  The dollar exploded higher (JPY now 108.70) and implied vol in fixed income was hit, for example about 30k Green Oct 9775p were sold at 6.5 covered 9780.  The 9775 straddle settled 18.5 vs 21.5 for the 9787^ on Tuesday.
–Inflation data was lower than expected 1.7 yoy.  With the Fed being perceived as more hawkish, the curve should flatten further.  The late sell off in the bond contract was surprising, but it is slightly higher this morning.
–Scotland vote today.  Also ECB’s TLTRO results will be posted this morning.  EUR remains below 129 this morning after plunging in response to yesterday’s FOMC.  US news includes Housing Starts at 1.038m, Jobless Claims at 305k and Philly Fed, expected to drop back to 23 from the surge to 28 last month.

Posted on September 18, 2014 at 5:21 am by alexmanzara · Permalink
In: Eurodollar Options

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