October 2, 2019

–Interest rate futures opened lower across the board yesterday, but the weakest Mfg ISM number since 2009 (47.8) sparked whiplash, with tens ultimately falling 3.5 bps to 1.64%.  Employment sub-index fell to 46.3. The curve steepened as odds for near term easing jumped.  Oct/Nov FF spread was -9.25 before the data but closed -14.5 as Nov FF rallied 5 bps to end at 98.295.  Reds led the way on the euro$ curve, closing +6.25, with greens +4.75, blues +3.25 and golds +2.125.

–TYZ9 low of 129-20 was the halfway back point from the Sept 13 low of 129-16 to the Sept 25 high of 130-25,  That high was eclipsed post-data as yesterday’s high hit 130-29+.  SPX closed -1.2% with Nasdaq -1.1% but selling has continued overnight.  Political uncertainty is also seeping into the market with impeachment proceedings gaining steam.  

–ADP today.  Fed speakers include Barkin, Harker and Williams.  The most important is Williams at 10:50, who should have plenty to talk about as the head of the NY Fed.  In July he gave the “don’t keep your powder dry” speech.  Recently, officials like Evans have indicated that policy is about right.  The NY Fed desk tamped down the repo surge, but the markets are looking for more signs of liquidity, especially as the WeWork implosion spills over into IPO valuations, commercial real estate, and venture capital.

–Good scathing article on WeWork linked here:

Posted on October 2, 2019 at 5:18 am by alexmanzara · Permalink
In: Eurodollar Options

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