Ring of fire
June 19, 2020
–Yields declined and the curve flattened on light volume. Tens back under 70 bps at 69.2, down 4 on the day. Two year note essentially unch’d at 19.3 bps. First two years of euro$ contracts net change of 0 to +0.5.
–Not too surprising that vol continues to slump. TYU atm straddle was above 2 points a couple of days ago, but yesterday TYU 139^ settled 1’47, 3.7 vol. As the attached chart shows, TY vol is back where it was at the end of last year as if March/April was just a bad dream, while VIX remains elevated. Amber line is TY vol. White is VIX, green is three-mo libor.
–This is the sort of summer day where the CME trading floor used to empty out by about 9:30 am to get a jump on the weekend. Sometimes thin conditions lead to volatile moves, but I doubt that happens today. However, it’s worth noting triple witching today.
–Ring of fire eclipse this weekend.
During Sunday’s eclipse, the moon will be near aphelion, the point in its orbit when it is farthest away from the Earth, creating an annular solar eclipse. “In an annular solar eclipse, the Moon is too far from the Earth to block out the entire Sun, leaving the Sun peeking out over the Moon’s disk in a ring of fire,” NASA explained.
