Premium sale for a coast into Thanksgiving
November 16, 2023
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–After Tuesday’s explosive rally following weaker than expected CPI, rate futures fell back yesterday. For example, On Tuesday SFRZ4 jumped 27 bps from 9543.5 to 9570.5, but yesterday gave up nearly half of that gain, closing -12.5 at 9558.0. The ten year yield rebounded 9.3 bps to 4.533%. With the major inflation news out of the way, and an upcoming holiday week light on data, vol was hammered. TYF4 atm 108.0 straddle was 2’13 Monday; atm 108.5^ was 2’05 yesterday. In SOFR the Dec 9462.5 strike has been pegged to carry us through the rest of the year. On Monday the atm 9456.25 straddle was 10.75 and yesterday the 9462.5^ settled 4.75 ref 9462.25. Still 30 calendar days to go.
–A block trade early this morning sets the theme, 20k exit sale of 0QZ3 9550/9525/9487.5 put fly at 5.0. SFRZ4 is underlying, 15-Dec expiration. Yesterday’s price pull back allows a more graceful exit of short positions.
–Philly Fed and Jobless Claims today, along with a few Fed speakers. Claims expected 220k, Philly -8.0 from -9.0 last.
