New curve lows in front of CPI
August 10, 2022
–CPI this morning expected 8.7% from 9.1% with Core 6.1% from 5.9%. Yields rose, with tens up 4 bps in front of today’s auction, to 2.796%. On the eurodollar curve, reds and greens were weakest, both packs settled -9.875. New low in 2/10 at -48.6. New low in red/gold euro$ pack spread at -61. FFF3 settled 9641, or 359 bps, 126 over the current EFFR of 233, with three meetings to go.
–New high in EDU2/Z2 at 53.5, but U2/Z2 in SOFR is 41.5. Trade action was biased to the downside. Example, +30k SFRM3 9600/9550/9500p fly 4.75 to 5 (9651s) and +24k EDZ3 SFRZ3 9600/9550/9500p fly 4 to 4.5 (9691.5s).
