Wuhan virus acceleration starting to look like palladium chart

Jan 25, 2020

–All eurodollar calendars making new lows as back contracts outperform front end.  The Wuhan virus spread is not likely to respond to monetary policy, though some firms are probably going to encounter cash flow problems from reduced activity. 


–EDH0/EDH1 is lowest one-year calendar spread and settled -31.0, down 4 on the day.  EDM0/M1 settled -24.0, down 3.5.  Implied vol firmed, though it’s still relatively low across the curve.  2/10 closed at a new low below 20 bps, 19.5, while the ten year inflation-indexed yield closed just barely above zero, i.e. no real yield.  Ten year treasury to tip breakeven at 1.677%, a new recent low suggesting a decline in inflation. Ten year yield fell 6 bps to 1.679%.

–Red/green pack spread (2nd to 3rd year) settled 3.0 bps, a new low for 2020.  These levels were last seen in late November.

–EDH0/FFJ0 settled at a new low of 14.5 bps. 

–The dollar index (DXY) continued its 2020 rally and closed  97.88, nearing the halfway back point from the Q4 high to low of just above 99.50 on Oct 1 to just below 96.50 on Dec 30. 

Posted on January 25, 2020 at 5:35 am by alexmanzara · Permalink
In: Eurodollar Options

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