Jobs now the focus
July 6, 2023
–Vol quite a bit firmer as long end rates move higher. TYU 111.5^ 2’33 or 7.6, high of recent range. 2/10 back to -100 having been -106 last week. New high in SFRZ3/Z4 to -120.5, up 6.5 on the day as Z3 rose 1.5 to 9463.5, while Z4 was -5.0 at 9584.0. The lowest one-year spread has migrated to SFRH4/H5 at -123.0 (up 6 on the day).
–Today’s news includes ADP expected 225k. Jobless Claims 245k. JOLTs 9900k. ISM Services 51.2 from 50.3 last.
–Payrolls on Friday.
–SFRZ3 9425/9400/9375p fly vs 9462.5, 3.25 paid 20k. 6% middle strike…fairly aggressive outlook. Other side: +30k SFRZ3 9437.5/9462.5/9487.5/9512.5 c condor for 6.5 covered 65/65.5, 8d. (6.25s). Minutes indicate probability of more hikes, with FFQ3 at 9472 reflecting about 80% odds of another 25 this month.
–Interesting snippet from Simon White of BBG
