Service ISM at new high

April 6, 2021

–SPX and DJIA at new record highs yesterday, not Nasdaq or R2K.  Yields eased from Friday, though Service ISM at 63.7 made a new high, at least since 1998 which is as far as BBG data went back.  Ten year yield was down around 0.5 bp to 1.716%.  Volume in rate futures was subdued.  Implied volatility bled, with TYM now 4.7 from over 5 at the end of the week.  Though WTI dropped $3/bbl yesterday, it held the low of the range in March so far and has rebounded to 60.30, up 165 this morning.

–In euro$s, the peak one-year calendar spread EDM23/EDM24 set a new high at 78 bps.  EDZ21/EDZ22 settled just above 1/4% at 26 bps, down 2 on the day.  The strongest part of the eurodollar curve was the green pack (3rd year), which closed +4 at an avg 98.87, while golds (5th year) only barely settled positive at +1 at an average 97.735.  Interestingly, 4EU 9637.5 puts have seen consistent buying at 1.5, with a buy of 4k yesterday and open interest now over 12k.  Underlying EDU25 settled 9778.5.  

Posted on April 6, 2021 at 5:19 am by alexmanzara · Permalink
In: Eurodollar Options

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