October 14, 2020

–Yields dropped and the curve flattened as stocks saw minor profit taking from near all-time highs.  Earnings today include Alcoa (AA), along with banks, BAC, GS, PNC, USB, WFC.  2/10 down to 58.7 and 5/30 to 121.2 from last week’s new yearly high of 124.6.  The ten-yr ended at 72.6, down 3.8 from my estimate on Monday. 

–As a fun note, Greece’s ten year yield is less than 6 bps higher than the US at 78.5 bps.  To put into context, in 2012 the spread of Greece to US was 35%, as Greece hit a high of 37%, and Draghi saved the euro.  In 2015 the spread was 10% as Greece was around 13-14%.  Now it’s essentially zero.  

–Another trivia note.  The 1987 crash was 33 years ago this week.  On Oct 13, 1987, SPX closed at 314.52.  On Oct 19, it closed at 224.84, a decline of 28%.  

–Core yoy CPI yesterday was 1.7.  PPI Core expected 1.0 from 0.6 today.

–Eurodollar option trades were mostly adds:  another 35k 3EH 9912/9900ps bought vs 9975/9987cs paying mostly 0.25 for ps.  Settled +0.25 vs 9951.5.  Buyer of 15k 3EZ 9925/9900ps around 1.0 (done vs futures).  Settled 1.0 vs 9956.

–Today’s news includes PPI with Core yoy expected 1.0 vs 0.6 last.  CPI yesterday Core was 1.7.

Posted on October 14, 2020 at 5:35 am by alexmanzara · Permalink
In: Eurodollar Options

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