Warren Zevon sums up 2022
December 30, 2022
–Happy New Year!
–Minor rebound in financial markets Thursday. 10y yield down 5 bps to 3.835%. SPX up 1.75%. 2/10 eased back down to -53 from -47.
–A few of the near one-year spreads squeaked up to new highs, for example, SFRU3/U4 settled +0.5 to -125.5; it’s still the most inverted one-year calendar on the strip.
–Some reasonable size option trades went through. For example, a buyer of 30k SFRZ3 9650/9750cs for 12.25 to 12.5. SFRZ3 settled 9551.5 so the lower strike is nearly 100 bps away. Another structure in much smaller size on SFRZ3 is the 9550/9600/9650 call tree, buying the 9550 (atm) call, and selling the 9600 and 9650 for -2. Settled there, 49.75/31.75/20.0. Upside breakeven is 9702. Slow grind higher is desired outcome.
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