2/10 close 2024 at high of year, +32.7
January 2, 2025
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–Thin conditions Tuesday to end the year. Yields edged a bit higher. I marked tens at 4.577%, up 3.4 bps on the day and up 70 bps on the year.
–Buyer 7.5k SFRZ5 9600/9650/9700c fly for 8.25. Settled 7.75 ref 9605.5. Also SFRU5 9650/9750cs bought 24k, vs sold 12k SFRZ5 9550p at 0.5 (cs settled 9.75, put at 16.5)
–2/10 treasury spread settled at the year’s high of 32.7. On the chart below, it’s the white line. I loosely watch red/gold pack spread as a proxy (in red on chart). The scales on the chart are not the same, but red/gold is lagging here. This is NOT a specific trade recommendation, just an observation. I will probably write up a trade rec today when I can check live option pricing.
From end of Nov, 2/10 went from -18 to +32, a jump of 50. Over same time frame, red/gold from -9.75 to +17.75; of course there was a contract roll, but the lag is evident using specific contracts. In looking at the move from early July to Sept 13, (just before the FOMC), 2/10 rose from -35 to +7 or 42 bps. Red/gold from -15 to +31 or 46 bps.
–News today includes Jobless Claims, expected 221k. I’m guessing they’ll be up to 250k by end of Q1. NOTE: next week we have 3/10/30 year auctions. Thursday is a half day to honor President Carter. BBG still shows auction time at 1pm for the 30y.
