Quart of Blood
August 28, 2024
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–SFRU4 settled 9509.5 as the market modestly adjusted odds on easing. The lean is still for 25 rather than 50 at the Sept meeting, but it’s a pretty small bias. SFRU4/U5 settled at a new low -170 (9509.5/9679.5).
–The morning featured large TY call buys:
+50k TY wk1 114c cov 11330, with 49d, 33 paid. (1’06 in straddle). Settled 38 vs 114-03. Call OI +50k. Sept 6, NFP, expiry.
+17k TYV 114c cov 113-29.5, 49 paid (1’39 in straddle). TYV 114^ settled 1’38 (Call 54s)
–On Monday morning TYV 113p had been bought in size 50k for 18.
–Treasury curve steepened. 2’s fell a few bps in yield to 3.901% (good auction) while tens rose 1.7 to 3.833%. SFRH5 best performer, +4.5 to 9631.5, while H6 was up 1.5 to 9695.5 and H7 was unch’d at 9694.0. Five-yr auction today.
–Post settlement Gold (GCZ4) edged above 2560.
–The big news today is, of course, NVDA earnings. It’s like the Quart of Blood technique. Might be the longs, might be the shorts, but a quart of blood is gonna drop out of one side. Maybe both. Over $3T market cap trading at nearly 30x SALES.
Below is Corn priced in Gold…new ALL-TIME low.
