Sept 23. Curve flatter; new high gold
Sept 23. Curve flattened and implied vol in dollars was crushed. Red/Gold pack spread declined by 6 bps. 2/10 treasury spread in 5 bps to 213. Implied vol in eurodollars was hammered, with Short Dec straddle closing at only 20.5 bps with two and a half months until expiration. Everyone knows it’s cheap, but no one has the appetite to buy more. These are ridiculously low levels.
–Green Dec midcurve 9862 straddle closed 34 bps. Fimat was trying to buy 40k E2Z 9887c for 5.0 bps. This call strike has 170k open interest due to all the call butterflies that had been bought.
–In terms of the economy, the starkest news item I saw was an interview with the CEO of Walmart: “I don’t need to tell you that our customer remains challenged…You need not go farther than one of our stores on midnight at the end of the month. And it’s real interesting to watch, about 11 p.m. customers start to come in and shop, fill their grocery basket with basic items – baby formula, milk, bread, eggs – and continue to shop and mill about the store until midnight when government electronic benefits cards get activated, and then the checkout starts and occurs. And our sales for those first few hours on the first of the month are substantially and significantly higher.”
BASIC ITEMS BOUGHT ON GOVT BENEFITS AT THE WORLD’S LARGEST RETAILER. Economic rebound?
