They lied?!?!

February 13, 2020

–In a stunning development that no one could have possibly predicted, official news outlets under-reported the cases of coronavirus, and are now correcting the error with a multiple of original estimates.  China is changing personnel in affected areas.  Forward looking markets are unsettled by the change, with reports yesterday having claimed that the rate of pace of infection was slowing.  ESH is working on an outside range day, having edged to new highs after yesterday’s close, and currently down 26.  Data barely matters at this point, but CPI is released this morning, with Core prices expected +2.3 yoy.  Treasury wraps up auctions with the 30 year; yesterday’s 10 yr saw solid demand with 2.58 bid to cover and a yield of 1.622%.

–Although rate futures pressed lower in yesterday’s session, there was heavy call buying in EDZ0 and EDH0.  The day started with a buyer of about 50k EDZ0 9950c for 2.0 (settled 1.75 vs 9855.0).  As the day progressed both Z0 and H1 9900/9950 call spreads bought in new size of ~50k each.  EDZ0 9900c settled 7.25, open int +37k.  9950c 1.75, OI +82k.  EDH0 9900c 12.0s +63k, EDH0 9950c 3.25, +58k.  Several people mentioned that these strikes are not likely to be seen, especially with the Fed rejecting the idea of negative rates.  Now imagine an infected US with Bernie at the helm.  Maybe the odds of a zero FF target are low, but they aren’t, well… zero.  In treasuries there was a notable buyer of over 20k TYH 130.5/131.5 call spread for 20.  Settled 22 ref 130-22.

–In euro$’s reds through golds (2nd year through the 5th year) were down 4 to 5.5 bps.  This morning those losses have been erased.  EDH0/EDH1 is still the lowest one-year calendar on the board, having settled -30.5.  The recent low is -41.5  which came on the last day of January, as virus fears swirled.  I wouldn’t be surprised to see that level re-visited by tomorrow afternoon.  

Posted on February 12, 2020 at 9:51 pm by alexmanzara · Permalink
In: Eurodollar Options

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