Roll Calls
August 30, 2024
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–Yields rose as Q2 second estimate GDP proved stronger than expected at 3.0%. Weakest contracts on the SOFR strip were Z4 and H5, both down 3 on the day (9576 and 9627.5). Deferred contracts -2 to -2.5. The lean for a 25 bp cut rather than 50 at the Sept 18 FOMC increased, but the outcome is far from certain, and may have to wait for next week’s NFP for market expectations to solidify. Curve was stagnant, with 2s -2.7 bps to 3.89% and 10s -2.6 to 3.865%. 2/10 remains close to its recent high at -2.5 bps, threatening to dis-invert. FFV4 settled 9500.5.
–Today’s news includes PCE prices, expected yoy +2.5 to 2.6 (vs 2.5 last) and Core +2.7%. Powell downgraded the importance of the inflation mandate vs labor at Jackson Hole, so today’s data is not likely to shake things up unless there’s an outlier. Chicago PMI follows, expected 45.6 from 45.3 last.
–There were a flurry of late trades in TY options, mostly a roll of long October calls into December:
Sells on block
TYV 115.0c 10k at 22
TYV 115.5c 9k at 15
TYV 116c 15k at 9
all covered 113-28+, 70d
then new buys:
TYZ 116c 45 paid 30k
TYZ 117c 31 paid 30k
TYZ 111p 29-30 paid 30k
(deltas on 117c and 111p both 21, delta on 116c is 29
Net bias to upside.
TYX 114 straddle, paper sells 10,000 at 2-19 (settled 2’18)
**Abbreviated screen session on Monday’s holiday. Won’t be in.
