What? Are you mad at money?

March 16, 2023

–Title was a Tom Dittmer classic, who ran Refco before a graceful exit and apparently didn’t like it when people did stupid things with money. 

–El-Erian, “What we saw in a couple of financial institutions exposed something much bigger…”

–Credit Suisse thrown a $50b lifeline by SNB. Temporarily stabalizes markets.  ECB today with a difficult decision.

–SOFR options markets extremely wide.  Front straddle prices have now exceeded midcurves in an environment of dazzling uncertainty.  
Examples on settle
SFRM3 9562.5^ 123.5 (9561.5)
0QM3 9650.0^ 112.5 (9646.0)
2QM3 9675.0^ 82.5  (9670.5)
These all expire 16-June.

–Curve steeper as twos outperformed. 2y 3.96% down 26 bps, 5y 3.577% down 22, 10y 3.487% down 15 and 30y 3.685% down 8.  2/10 was -110 after Powell semi-annual last week, now -47

–On the SOFR curve every three-month spread is inverted out to June’27.  That is, each successive contract has a higher price/lower yield.  Probably want to look at something like buying SFRM5 and selling something behind it, looking for that part of the curve to snap back positive. If 5/30 positive (and it is, at +11), then this part of the SOFR curve should be as well.  THIS IS NOT A RECOMMENDATION OR ADVICE, just having a look.

–I knew a guy whose business card said “Treasury Market Credit Analyst” right under his name.  Funny.  No risk in treasuries… (right?)
Every big financial institution has hopped on the ‘wealth management’ gravy train to generate fees.  Except now everyone is pouring into treasuries for safety, and you don’t really need an advisor for that.  Treasuries and big tech.  The money pouring into bonds is supporting the most profligate spender on the planet, the US government.  Maybe the phrase “US Treasury Credit Analyst” should be stamped on every gold bar.

Posted on March 16, 2023 at 5:32 am by alexmanzara · Permalink
In: Eurodollar Options

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