Treasury yields higher as geopolitical events fail to awaken safety fears

October 28, 2024
******************
–As mentioned in weekend note, Friday started with a buy of 50k TY wk1 MONDAY (today expiry) 111.75 call for 3.  Likely same player who had bought 50k 111.75 put which expired Friday 44/64s in-the-money, with a settle of 111-02 in TYZ4.  Gains continue this morning with TY at a new low of 110-18+ (last at 110-24).  Throughout the day Friday there was heavy accumulation otm puts expiring this Friday (NFP day):

Here are the buys, all TY Nov wk1 FRI puts.  These puts all expire on Nov 1, payrolls day.

+20k 109.25p 2 
+15k 109.25p 3   Settled 4, open interest +37k to 44.6k
+12k 109.00p 2  
+20k 109.00p 3   Settled 3, open interest +40k to 48k
+20k 108.75p 3   Settled 3, open interest +20k to 21k

–Weekend events: Israel’s military strikes avoid Iran’s energy infrastructure, so CLZ4 is at a new low for October, down around 3.50 at 68.30.  LDP lost its majority in Japanese elections, so the yen is making a new low going into the BOJ meeting at the end of the week, $/yen last at 153.22.  

–Front end of SOFR strip down just 1-2, reds, -3.5 with more deferred contracts -4 to -5.  

–Attached chart shows U of Mich 1-yr inflation expectations, released Friday at 2.7%, pretty much in the same area it was from 2015 to the end of 2019.  

–Today includes 2 & 5 year auctions, followed by 7s tomorrow.

Posted on October 28, 2024 at 4:31 am by alexmanzara · Permalink
In: Eurodollar Options

Leave a Reply