SPX priced in Gold. Waller today.
July 17, 2024
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–Retail Sales stronger than expected yesterday, though in real terms, still weak. After fairly aggressive steepening from mid-June to Monday, the curve retraced, with 2’s down only 1.1 bp to 4.442% and tens down 6.2 to 4.167%. Both SPX and Gold made new highs, but as the attached chart shows, SPX priced in gold is breaking.
–KRE regional bank ETF has simply exploded since mid-June, from 46 to a new ytd high of 56 yesterday (+4.6% just yesterday) but somewhat interesting that Schwab (SCHW) was crushed, down 10% yesterday, -7.74 to 67.43 as the company said it would reduce its size. Jeanna Smialek (NYT) tweets:
Donald Trump on Fed Chair Jay Powell’s term (which expires in 2026) in a @BW interview: “I would let him serve it out especially if I thought he was doing the right thing.”
–Waller at 9:30 this morning on Economic Outlook. Beige Book this afternoon. 20-year auction. Housing Starts and Industrial Production.
–Heavy volume in SFRU4/SFRZ4 futures spread yesterday, said to be initiated by a seller; settled unch’d at -40.5 (9496/9536.5). This has been the low of the move; yesterday printed -43. Both contracts saw open interest fall by about 29k. Looking back to last December when the near 1-yr calendar was below -150, the first 3-m calendar had traded to -49. Currently U4/U5 is -128. Three-month calendar near -50 is hard to sustain… Also worth a mention is a decline in open interest in SFRU5 and Z5, -55k and -14k. These contracts were nearly unchanged, 9624.0, unch and 9637.0 +0.5, while contracts a year forward were up 3 to 3.5. I would characterize U5 and Z5 as profit-taking after a large move.
