Decades happen in weeks
September 10, 2024
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–Yields little changed on a reactive flattening day after Friday’s steepener to new highs. 2/10 remains above 0 at 3.2, with 2s up 1.3 bps to 3.665% and 10s down 1.3 bps to 3.697%. A couple of large option plays capture the election: +50k SFRX4 9612.5/9625cs 2.5 to 2.75, settled 2.5 ref 9591.0 in SFRZ4. New position, expires Nov 15, just past the Nov 1 payroll report, Nov 5 election and Nov 7 FOMC. In tens, buying of TYZ4 117.5 and 118c. 117.5c settled 39 with OI +11k and 118c settled 32, OI +19k ref TYZ4 115-015. These options expire Nov 22.
–Debate tonight. How’s this? Debate is a mess, stocks take another big tumble, Biden resigns to make Harris the new President, an ‘apolitical’ Fed cuts 50. “There are decades where nothing happens, and there are weeks where decades happen.” Lenin.
–3 year auction today, followed by 10s and 30s Wed and Thurs. Sept SOFR midcurves expire Friday.
SFRU4 9512.5^ settled 7.5 ref 9510.5
0QU4 9700.0^ 15.5 ref 9705.0
2QU4 9712.5^ 12.5 ref 9714.5
3QU4 9700.0^ 12.5 ref 9703.0
On Thursday prior to NFP, SFRU4 9512.5^ settled 13 ref 9512.25. Pretty accurate as Friday’s range was 9501.75 to 9524.25. 0QU 9687.5^ settled 25.5 ref 9692.5; contract had a range of 30.5 from 9681 to 9711.5.
