Today’s Market Update:


UST Front-End Shorts, Mixed Eurodollar Flows: Open Interest

By Edward Bolingbroke

(Bloomberg) —

Preliminary CME open interest data show pockets of new risk across both upside and downside structures, though activity was relatively muted; across Treasury futures, open interest jumped by $1.6m/DV01 in 2-year contracts, suggesting new shorts were set during Thursday’s selloff.

  • In June eurodollar options, new upside emerged as OI rose 12.7k/31.7k/1.8k across strikes following ~8k EDM8 97.75/97.875/98.00 call fly bought at 1.75 ticks
  • Across June eurodollar mid-curve options, new downside risk appeared as OI rose 14.7k/7.3k in strikes following 0EM8 97.125/97.25 3x2 put spread bought in 5k at 5 ticks; upside was apparently set via 0EM8 97.125/97.375 1x2 call spread bought in 8k at 4.5 ticks, where OI rose 25.2k/4.7k
  • OI jump of 37,782 across TUM8 futures is consistent with addition of front-end shorts during Thursday’s bear flattening, in which 2-year yields cheapened by 2.7bp
  • Some information comes from rates traders familiar with the transactions who asked not to be identified because they are not authorized to speak publicly

Two-year Notes are down 0.6 basis points at 2.279%, five-year Notes are up 0.5 basis points at 2.630%, and the benchmark 10-Year Bond is up 1.5 basis points at 2.843%.

Treasury Yields

Term  Current  Last Month
3 Month1.761%1.590%
6 Month1.939%1.821%
2 Year2.279%2.189%
5 Year2.630%2.629%
10 Year2.843%2.875%
30 Year3.078%3.132%
Yields updated each morning.
Source: Bloomberg


Crude Oil$61.36
1 Year CMT2.07%
1 Month LIBOR1.78638%
Fed Funds Effective1.43%
Next FOMC MeetingMarch 21, 2018
Source: Bloomberg

Economic Indicator Calendar

3/21/2018MBA Mortgage Applications16-MarN/A0.90%
Current Account Balance4Q-$125.0b-$100.6b
Existing Home SalesFeb5.40m5.38m
Existing Home Sales MoMFeb0.40%-3.20%
FOMC Rate Decision (Upper Bound)21-Mar1.75%1.50%
FOMC Rate Decision (Lower Bound)21-Mar1.50%1.25%
3/22/2018Initial Jobless Claims17-Mar225k226k
Continuing Claims10-Mar1885k1879k
FHFA House Price Index MoMJan0.40%0.30%
Bloomberg Economic ExpectationsMarN/A54.5
Bloomberg Consumer Comfort18-MarN/A56.2
Markit US Manufacturing PMIMar P55.655.3
Leading IndexFeb0.50%1.00%
Markit US Services PMIMar P56.055.9
Markit US Composite PMIMar PN/A55.8
Kansas City Fed Manf. ActivityMar1817
3/23/2018Durable Goods OrdersFeb P1.70%-3.60%
Durables Ex TransportationFeb P0.50%-0.30%
Cap Goods Orders Nondef Ex AirFeb P0.80%-0.30%
Cap Goods Ship Nondef Ex AirFeb P0.40%-0.10%
New Home SalesFeb620k593k
New Home Sales MoMFeb4.60%-7.80%
Source: Bloomberg