20y auction and NVDA post-close
November 20, 2024
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–Early action was dominated by news of Putin updating Russia’s nuclear doctrine. Stocks lower, fixed income bid. Those moves sputtered; stocks ended positive and near SOFR contacts were slightly lower on the day while yields from 5 yrs out were lower by 3 to 4 bps. SFRZ5 to SFRZ8 were +2.5 to +3.5 with Z5 9615.5 and Z8 9619.0, nearly the same price at a yield around 3.85%. Ten year yield down 3.3 to 4.375%. There were a few ‘disaster’ buys: +15k SFRZ4 9600c for 0.5. +15k SFRH5 9750/9800cs for 0.5 (SFRH5 settled 9577.5). And a few much more reasonable buys for continued Fed eases, for example, SFRZ4 9562.5/9568.75 bought for 1.0.
–Seller of 30k SFRM5/Z5 spreads. Settled -18.5 (9597/9615.5) down 3.5 on the day. Open interest up in both contracts, +37k and +5k. The six-month spread in front, H5 to U5 settled -31.5 (9577.5/9609) so curve roll obviously favors this trade. Not to mention the fact that as recently as early October the near 3-month spread was -50.
–Sigh of relief as SMCI was +31% at 28.27. Of course, in July it was 90. NVDA reports after the close. 20y auction today.
