March 9, 2020

–Starting this morning with a link to CME price limits in S&P’s.

FAQ: S&P 500 Price Limits – CME Group7% decline. A 7% decline (Level 1 circuit breaker) in the S&P 500 Index before 2:25 p.m. CT will trigger a NYSE Rule 80B trading halt for both the cash equity market AND all U.S.-based equity index futures and options, including E-mini S&P 500 and S&P 500 futures and options.www.cmegroup.com

We’ve obviously hit the hard limit overnight at 2819.0 in ESH0, down 5% from Friday’s VWAP reference price, which is down 145.  As the day session opens the next circuit breaker will be down 203 or 7% at 2697.  Then 13% and then 20%.

–Ten year yield is 50 bps, down 20 bps.  The price of oil has rallied significantly off the low and is now above $32/bbl, but was down about 1/3rd from Friday’s close and is still down around 20% currently.  In part, the Russians wanted to cause damage to US shale producers by not agreeing to production cuts, and the Saudis obliged with declaration of a price war, but I would bet my bottom dollar that discussions are already occurring for the US gov’t to buy US shale product for the SPR.  Once again, governments are likely to transfer bad private debts onto public balance sheets.  A forced move to Modern Monetary Theory.  There are a few jokes about Theory vs Reality, but we’re about to live it, and it might not be so funny.

–Treasury auctions 3, 10 and 30 year paper this week, raising $54 billion in new cash.  In dollars, reds (2nd year forward) are over the 9950 strike.  The 100 calls are no longer a passing curiosity, now just another strike price subject to exaggerated claims (“Oh yeah, I bought 100 calls a long time ago.  Sure I own ’em.”)  On last night’s open I was able to buy some FFJ0 up to 9960.5 and FFK0 at 9967.5.  Prices now are 9969.5 and 9980.  August FF (FFQ0) have a high print of 9992.0 or 8 bps.  

Posted on March 9, 2020 at 4:39 am by alexmanzara · Permalink
In: Eurodollar Options

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