August 13, 2020

–Solid ten year auction saw implied vol ease a bit, even as Core yoy CPI was higher than expected at 1.6.  TY closed down a couple of 32’s while ED curve was 0.0 to +1.0 out to five years. I marked the just auctioned 10’s up 1.2 bp.  30 year bond auction today in size of $26 billion.  Jobless claims expected just over 1 million.  SPX remains right around record highs on a liquidity fueled rally.  Dollar index slightly lower this morning with EUR 1.1850.   

–Partially because of this week’s auctions. 2/10 and 5/30 are edging to recent highs, though ranges over the past month have been fairly tight.  5/30 is around 106.5; the high has been 122 set in the beginning of June with a low at the end of July of 96.  Both the ten year tip breakeven and the 5y5y inflation swap are making new highs, though not quite at Feb highs.  All pointing to higher inflation for now.

–Without much else to say about the market, we might as well turn to the quake swarm under the Salton Sea and near the San Andreas Fault which may portend a big one in the next week.  I think there are about 45 earthquakes a day across the world, but it seems to me that recent activity has picked up in a manner befitting 2020. 

Here’s the earthquake link:,-292.14844&extent=75.49716,129.02344

Here’s the ten year note to inflation-indexed breakeven, a long term inflation indicator of dubious reputation.

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And here is Eddie Money with Shakin’

Posted on August 13, 2020 at 5:54 am by alexmanzara · Permalink
In: Eurodollar Options

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