March 27. 200 DMA
–Stocks rebounded Monday and interest rate futures traded lower. Ten year yield rose a couple of bps to 284.3 as the market digested the 2 yr auction with 5’s to follow today. Good buying in the morning (+80k) in EDM8 9762/9750/9737p fly for 2.25…friend BC pointed out that May 9762/9750ps was offered at 2.25 vs 9768.0 with nearly twice the delta, 25 vs 15. Both settled 2.25. Same premium, more bang. How many can I put you down for?
–Stocks continue a mad bounce off the 200 day moving average. Charts below show that the 200 DMA has held as support for both SPX and Bitcoin on two occasions this year. The difference is that SPX has bounced like an exuberant child on a trampoline, while bitcoin is, well, rather less enthusiastic this time around, ready to puke a mixture of birthday cake and soda. Third time’s a charm; XBT has been leading.
–Attached chart is a clear reflection of libor distortion. Going into February, EDM8/EDU8 and FFN8/FFV8 tracked each other within 0.5 to 1.0 bp. Since then they’ve gone their separate ways, with the former settling at 7.5 and the latter at 14.5.
–ED calendar spreads generally perked up on the sell off. EDZ8/EDZ9 rose 1.5 to 34.0. The longer this holds 29.5, the more likely it takes another run towards 40. Greens have been the pivotal area of the curve recently, leading the downside yesterday -2.875 (reds -2.125 and blues -2.625). Outperformance in either direction recently which suggests that, if one favors steepeners, buy greens and sell deferred. Same with flatteners.
–Conference Board Consumer Confidence today expected 131.0.
–Going into month/quarter end on a holiday week. Moves associated with rebalancing could be somewhat exaggerated.
SPX top panel, XBT lower panel
