Moderna says ‘panic’
November 30, 2021
–Yellen and Powell today at 10:00 EST, but Powell preempted his speech by saying late yesterday that omicron adds to economic risks and inflation uncertainty. We’re back to Friday’s action: lower oil, lower stocks, higher treasury prices and a tepid rally in gold. Both Bloomberg and FT lead off with warnings about Omicron….citing Moderna. Smith and Wesson now contacting both editors with warnings about rising crime spilling over into suburbia.
–Curve steepened yesterday with 2s down nearly 1 bp to 50.8 and tens up 4.3 to 1.526%. Implied vol seeped out. One interesting note in eurodollar options: EDU2 100.125, 100.1875, 100.25 calls all bought for 0.5, in total of about 25k (only the lower strike settled 0.5). EDU2 settled 9938, so these protection buys are somewhat surprising. On the other hand, nearly every day there are articles about possible military miscalculations regarding China/Taiwan and Russia/US. So… get your booster shot.
–Next year’s FOMC calendar shows that the first three quarterly meetings (in March, June, Sept) are two days AFTER the eurodollar contract expiries. However, the December meeting is 14-December and EDZ2 expires 19-December. That is, December 22 options capture the actual outcome of the meeting.
