Starting the week risk-off

July 19, 2021

–SPX fell 75 bps Friday and Nasdaq down 80 bps, with follow through this morning.  Rate futures are higher, with TYU above 134-00 with the cash yield nearing 1.25%, the lowest since mid-Feb.  Then ten year yield moved from 50 bps in August (the low set just before the Fed changed its operating framework to FAIT) to 1.74% on March 31.  It is now right around the 0.382 retracement (1.27%) with 0.50 being 1.125.  It took eight months from low to high, and appears that it will be four months to retract half the move.

–Quiet week for news, mostly dominated by housing data. VIX options expire Wednesday, and July VIX has popped from 17.5 on Thursday’s close to nearly 20 this morning.  Hi print in June is 22.25. Heavy pressure on Crude, with CLU1 down just over $2/bbl nearing 69.50.

–EDZ2/EDZ4 is down another 5 bps this morning to 84.5 with the red pack up only 2.5, but blues and golds printing +7.5 and +8.25. 

Posted on July 19, 2021 at 5:37 am by alexmanzara · Permalink
In: Eurodollar Options

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