Payrolls
February 5, 2021
–Even the Financial Times noted today that the US curve is the steepest it has been since 2015. 2/10 closed +0.8 to new high 102.4. Ditto 5/30, up 2 to 147.4, with red/gold euro$ pack spread up 0.625 to 106.375. Tens ended at 113.7 and thirties at 193.1, up 0.6 and 2.0. Plans for student debt cancellation, stimulus checks, checks to parents, are all causing some trepidation in the long end. Concerns that the timing for an initial Fed move could be brought forward are spilling over into the shorter end. For example, yesterday there was a buyer of 25k 2EZ 9912/9887ps vs selling 9962/9987cs, 1.5 debit. The put spread settled 4.25 and the call spread 2.5 vs 9934.0 in EDZ23.
–Payrolls today with NFP expected 100k. Average Hourly Earnings yoy expected 5.0% from 5.1 last. Consumer credit report at the end of the day. While the employment report hasn’t provided much in the way of fireworks recently, I still find 2EG 9968.75 straddle interesting at 3.75 settle. Feb midcurves expire one week from today. Underlying EDH3 settled 9969.5, range since Jan 12 is 9963 to this week’s high 9974.
–This morning CLH1 is at a new high of 56.82, up 36 cents. This contract is now right around where it started in 2020.
