Short Cover
October 24, 2023
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–Outside range reversal day in USZ3 and TLT as Ackman said he covered bond shorts, in part due to geopolitical risks, and Bill Gross warned of recession in Q4 (today’s Eurozone PMI only 46.5). Monday morning high yield in the ten year surpassed 5% at 5.02, but by futures settlement it was down to 4.84%; TYZ3 settled 106-155 vs a low of 105-12+.
–Two-year auction today with yield on wi 5.03% at yesterday’s settle. News includes Philly Fed Services and S&P PMIs. MSFT and GOOGL earnings. FOMC one week from tomorrow with FFX3 now pinned to 9467. An ease of 25 would be a price of 9492. FFN4 (july) is 9485 and FFQ4 (aug) is 9499.5, so that’s the window now being priced. The low settle on the FF strip is FFG4 (feb) at 9457.5.
–SOFR strip flattened with SFRM4 unch’d at 9487.5, M5 +9.0 at 9579.5 and M6 +11.0 at 9582.0. SFRU4 9512.5^ settled 103 ref 9515.0 settle. B/E around 9410 to 9615 or 5.9% to 3.85%.
..
Don’t you understand what I’m trying to say
Can’t you feel the fears I’m feeling today?
If the button is pushed, there’s no runnin’ away
There’ll be no one to save with the world in a grave
Take a look around you boy, it’s bound to scare you, boy
And you tell me
Over and over and over again, my friend
How you don’t believe
We’re on the eve of destruction
