they can’t revoke your soul for tryin’
Dec 31, 2020
What a long strange trip it’s been.
-Grateful Dead lyric from Truckin’
–That’s the song spinning in my head this morning as we wrap up 2020. Strange year. Not much to comment on in the rate market; yields eased a shade yesterday with tens down less than 1 bp to 92.6. Only two things worth mention, first, EDZ1/EDZ2 one-year calendar settled at new recent low of 5. The last month’s range has only been 5.5 to 8.0. Doesn’t look particularly out of line, and there is no real turn effect (this year should have taught us that). 2021 last working day is Friday Dec 31, and last working day in 2022 is Friday Dec 30. So the one-year forward spread at 5 continues to signify a Fed on hold, but I am inclined to be a buyer of cheap year spreads.
Second, treasury vol firmed, a bit strange before another long weekend. Example, USH 173 straddle settled 4’26 yesterday even as the contract drifted toward strike, settling at 172-27, while it was 4’18 on Tuesday.
–Happy New Year to all.
You’re sick of hangin’ around and you’d like to travel
Get tired of travelin’, you want to settle down
I guess they can’t revoke your soul for tryin’
Get out of the door and light out and look all around
