Turnaround Thursday?
October 24, 2024
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–Yields pushed a bit higher, punctuated by an aggressive, end-of-day buyer of 30k USZ4 109p for 10, 11 and 12, (10k each). This 5 delta put was bought just after USZ4 settle at 118-01 with futures around 118-03/04; puts settled 9. 20y auction tailed by 1.7 coming in at 4.59%. Ten year yield at futures settle was +3.8 bps to 4.24% and 30y +2.1 to 4.513%. Roll down buyer of TYZ4 114.5/118c 2×1 for 16, adding new longs to the 114c and exiting 118s. Trade size was 40x20k, 114c added 31k of OI, settled 9 and 2 (16 in pkg). Shorter dated put buyers in TY.
–SOFR contracts were -5 to -7.5 from SFRM5 to SFRM8. The 100 wide call spread buyer returned, paying 4 for 40k SFRM5 9775/9875cs, settled 4.0 ref 9620.5. New recent highs in SFRZ4/H5 at -35.5 (9559/9594.5) and Z4/Z5 at -85.5 (9559/9644.5).
–Beige Book indicated slow to modest growth; consumer trading down to lower priced products.
–Stocks were lower and DXY higher, but TSLA’s stronger than expected results seem to have sparked reversals. As of this note, ESZ4 currently +25 at 5862.75. GCZ4 posted a key reversal: new ath, outside range day, closed lower. (2772.6 H, 2722.1 L, 2729.4s). Silver nearly the same. Warning sign on precious metals, but a close above 2773 in GCZ4 would indicate another large leg higher.
–As mentioned yesterday, treasury vol is surging. An election note by Harley Bassman, inventor of MOVE index is below.
https://www.convexitymaven.com/wp-content/uploads/2024/10/Convexity-Maven-2024-Election-Special.pdf
–I would just note the following settles for 111 straddles on TYZ4 underlying, which settled 111-01
WED 10/30 0’48
FRI 11/1 1’06
FRI 11/8 1’46
So a spread of 22/64’s for the 2 days from Wednesday to Friday, with Friday 11/1 being the last employment report before the election and PCE released on 10/31
And 40/64’s for the week that captures the election and FOMC
Today:
Job Claims expected 242 from 241
S&P Mfg PMI 47.5 from 47.3
Services 55.0 from 55.2
Composite 53.8 from 54.0
Also New Home Sales and Durable Goods Orders
