Service ISM at new high
April 6, 2021
–SPX and DJIA at new record highs yesterday, not Nasdaq or R2K. Yields eased from Friday, though Service ISM at 63.7 made a new high, at least since 1998 which is as far as BBG data went back. Ten year yield was down around 0.5 bp to 1.716%. Volume in rate futures was subdued. Implied volatility bled, with TYM now 4.7 from over 5 at the end of the week. Though WTI dropped $3/bbl yesterday, it held the low of the range in March so far and has rebounded to 60.30, up 165 this morning.
–In euro$s, the peak one-year calendar spread EDM23/EDM24 set a new high at 78 bps. EDZ21/EDZ22 settled just above 1/4% at 26 bps, down 2 on the day. The strongest part of the eurodollar curve was the green pack (3rd year), which closed +4 at an avg 98.87, while golds (5th year) only barely settled positive at +1 at an average 97.735. Interestingly, 4EU 9637.5 puts have seen consistent buying at 1.5, with a buy of 4k yesterday and open interest now over 12k. Underlying EDU25 settled 9778.5.
