Today’s Market Update

New UST 10-Year Put Condors; Eurodollars Quiet: Open Interest
2020-09-23

By Edward Bolingbroke
(Bloomberg) — Eurodollar futures and options volumes dropped to 65% and 49% of 20-day average levels Tuesday. While eurodollar option flows were anemic, new downside appeared in Treasury options.
* New downside positions with low-volatility characteristics appeared in Dec20 tenor, where OI rose a combined 27k in strikes involved in 6k TYZ0 138.50/139.00/139.50/140.00 put condor bought at 8
** Other flows in Dec20 TY options included a 137.00/137.50/138.00/138.50 put condor bought in 2k at 3 and a 138.00/138.50/139.00/139.50 version bought in 2.5k at 6
** Also TYZ0 138.50/141.00 risk reversal was sold in 2k at 10
* Eurodollar flows were few and far between, but included Dec22 upside via 100.00 calls bought in 2k at 9.5; OI rose 2.1k in the strike

* Some information comes from rates traders familiar with the transactions who asked not to be identified because they are not authorized to speak publicly

To contact the reporter on this story:
Edward Bolingbroke in New York at ebolingbrok1@bloomberg.net
To contact the editors responsible for this story:
Benjamin Purvis at bpurvis@bloomberg.net
Elizabeth Stanton

Treasury Yields

Term  Current  Last Month
3 Month0.091%0.089%
6 Month0.099%0.109%
2 Year0.135%0.143%
5 Year0.271%0.264%
10 Year0.676%0.628%
30 Year1.424%1.341%
Yields updated each morning.
Source: Bloomberg

Benchmarks

PRIME3.25%
DJIA27,351.41
Crude Oil (WTI)$40.00
YEN105.1900
Gold$1,874.45
1 Year CMT0.11%
1 Month LIBOR0.1519%
Fed Funds Effective0.08%
Next FOMC MeetingNovember 4-5th, 2020
Source: Bloomberg

Economic Indicator Calendar

DateEventPeriodSurv (M)ActualPriorRevised
09/21Chicago Fed Nat Activity IndexAug1.190.791.182.54
Household Change in Net Worth2Q-$7607b-$6548b
09/22Existing Home SalesAug6.00m6.00m5.86m
Existing Home Sales MoMAug2.4%2.4%24.7%
Richmond Fed Manufact. IndexSep122118
09/23MBA Mortgage ApplicationsSep 186.8%-2.5%
FHFA House Price Index MoMJul0.5%1.0%0.9%1.0%
Markit US Manufactuing PMISep P53.553.553.1
Markit US Services PMISep P54.754.655.0
Markit US Composite PMISep P54.454.6
09/24Initial Jobless ClaimsSep 19840k860k
Continuing ClaimsSep 1212,400k12,628k
Bloomberg Economic ExpectationsSep 2047.7
New Home Sales Aug890k901k
New Home Sales MoMAug-1.2%13.9%
Kansas City Fed Manf. ActivitySep1414
09/25Durable Goods OrdersAug P1.2%11.4%
Durables Ex TransportationAug P1.1%2.6%
Cap Goods Orders Nondef Ex AirAug P1.0%1.9%
Cap Goods Ship Nondef Ex AirAug P1.0%2.4%
Dallas Fed Manuf. ActivitySep8.0
Source: Bloomberg