Happy 4th!
July 3, 2024
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–Rates eased yesterday as Powell cited progress on inflation but dangled the carrot of confidence just a bit further forward. Almost a parallel shift…tens down 4.3 bps to 4.434%; on the sofr strip reds, greens, blues and golds +4 to +5.5. Slight new high in 5/30 just above +21 bps.
–Buyer of over 30k FV week2 108/109/110 c fly for 1. Open interest up in all strikes, so completely new position. Expires 12-July. The 108c alone were offered at 2 (settled 1.5) and are about 40 bps out-of-the-money. If someone is concerned about a 40 bp move in a week then there’s not a lot of point in having additional legs. In SOFR, a late add of +8k SFRH5 9675/9775cs which settled 4.5 ref 9541.5 and now has about 190k open in both strikes.
–ADP today expected 165k from 152 last. Jobless Claims 235k. S&P Composite PMI. ISM Services 52.6 exp from 53.8. FOMC minutes after futures close/settlements. Settles in rate futures are at 1pm today, though the screen stays open until 5 for anyone who wants to push the market around in thin conditions. We’ll be leaving shortly after settles today. NFP on Friday expected 190k.
–$/yen holding near 162. Precious metals attempting another stab at the upside out of a basing formation. GCQ4 currently 2355, up 21.6 and SIU4 30.385 +72.7.
