2/10 spread at low of this calendar year
June 25, 2024
**************
–Relatively quiet day in rate futures. Ten year yield fell 1 bp to 4.246%. In front of today’s 2-yr auction, 2/10 treasury spread edged to a new low of -48.6. It was not a particularly large move, it’s simply that 2/10 is slowly grinding to new lows for this calendar year, though the entire ytd range is only -16.5 to -49.
–Huge drop in bitcoin Monday. Late futures price (july) of 59950, down 4860. USD vs Asian currencies remains strong (chart attached with Yen, Indonesian Rupiah, Indian Rupee; USD making highs against all).
–Continued buying of SFRH5 9675/9775cs for 4.75 with another 17k bought yesterday, bringing the total to 100k. Settled unch’d at 4.5 ref 9547.
–Today’s news includes Philly Fed Services which was -0.6 last. Also Consumer Confidence expected 100 from 102…remains near the lowest levels since Covid. Two year auction.
–Yesterday I checked July expiry on SFRZ4 9500/9487.5 put spd ref 9515.5; pit market was 1.0/2.0. BBG symbol is UZON4 Comdty OMON, symbol on CME-direct 1YZ. These options expire 12-July into SFRZ4. Shortly after I checked this market, there was a buyer of 5k 9700c for 0.25.
Notable events occurring pre-expiration:
Biden/Trump debate
PCE prices on Friday
NFP July 5
Powell semi-ann testimony 7/9
CPI 7/11
After the weekend attack in Crimea at Sevastopol which for which Russia blames the US (US weapons used in the strike), odds of unexpected military escalation are growing.
