OpEx on the Ides of March; hang on to your toga
March 15, 2024
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–Hard sell off in treasuries, as PPI came in hotter than expected, 0.6 vs 0.3 m/m and 1.6 vs expected 1.2 y/y. Fives and tens ended at the same yield of 4.294% which was +10.9 bps in 5y and +10.4 in 10y.
–New highs in some of the near one-yr SOFR calendars. SFRM4/M5 is the most inverted at -105, but it rose 10 on the day as M4 was -2 at 9486.5 while M5 was -12 at 9591.5. Of note, SFRU4/U5 jumped 9.5 to -94.0, highest that spread has settled in a month. Notable because this is the one Bill Gross had cited as a long. Greens (3rd year forward) were weakest on the strip at -14.875.
–Retail Sales printed weaker than expected, but inflation is the dominant factor. As mentioned yesterday Crude Oil remains bid, adding to Wednesday’s gains with CLK4 settling 80.74, +1.44; highest settle in this particular contract since October. Recall, mid-October is when yields made their highs last year. Of course, the front contract at that time, in late September, had reached 93.68. May Copper also held gains from Wednesday.
–Implied vol slightly better bid in treasuries with TYM4 settling 110-06+, -23+. April puts have over 1 million in open interest relative to 4.3m in the outright future. Largest strikes, 110.5 with 78k open (0’37s, -0.62d), 110.0 with 86k open (0’21s, -0.42d) and peak OI 109.5p with 133k (0’11s, -0.25d). April options expire next Friday, covering BOJ and FOMC. The 109.5 strike should equate to around 4.39%.
–Big quarterly expiration day in stocks. MSFT new all-time high yesterday, while TSLA closed 162.5 after being near 300 in July, and AAPL closed 173 from near 200 in December. Bitcoin continues a 2-day pullback this morning printing 68k. AMZN near ath, but META and NVDA look like potential tops.
–Today’s news includes Empire Mfg, expected -7.0. Import and Export prices. Industrial Production expected 0.0 from 0.1. Then Michigan Sentiment and Inflation surveys.
