The Vengeance

January 26, 2023

–Large trade yesterday was a block of 49k buys SFRZ3/Z4 for -146.  Said to be an exit; open interest rose 880 in Z3 and fell 44294 in Z3.  The most inverted one-yr calendar remains SFRU3/U4 at -162.5 (9531.5/9694.0) up 5.5 on the day, having posted an all-time low of -177 last week. The low in Z3/Z4 last week was -152.5, yesterday’s settle was -143.5  (9565.5/9709).  When all was said and done, SOFR futures volume was just over 2.277 million and open interest net change was down 81 contracts.

–Also on SFRZ3 a new buyer of 60k 9700/9750/9800c fly for 1.5.  Need cuts of a couple of hundred bps on that one by year end.

–Yields fell slightly in treasuries with tens -1.2 bps to 3.454%.  Stellar five-year auction with 7s today.  Is there a safe harbor aspect to the treasury bid?  …given tank deliveries to Ukraine and German Foreign Minister Annalena Baerbock saying yesterday the EU is at war with Russia.  I personally am not sure whether to buy treasuries, gold, or one of these things:

https://www.theguardian.com/artanddesign/2023/jan/25/pepper-spray-school-run-apocalyptic-suv-reznavi-vengeange?utm_source=fark&utm_medium=website&utm_content=link&ICID=ref_fark

Pepper spray for the school run? The weaponised SUV set to terrify America’s streets | Design | The GuardianStyled like an Elon Musk fever dream, its great bulk sculpted with clunking facets, the Vengeance is the latest heady concoction to emerge from Irvine, California-based Rezvani Motors.www.theguardian.com

–Bank of Canada raised by 25 and may be done. Could soft PCE prices spark the same sentiment in US?  Core PCE price mom expected 0.3 with yoy 4.4%.  Today brings Jobless Claims expected 205k, and Q4 Advance GDP expected 2.6% with Price Index 3.3%. 

Posted on January 26, 2023 at 5:07 am by alex · Permalink
In: Eurodollar Options

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