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Eurodollar/Treasury Roundup, Hikes Already Priced In, Waiting on NFP

US
Rates finished session broadly lower, early sell-off triggered after after Bank of England raised bank rate by 25bp to .50% (4 out of nine Bank members called for 50bp hike).
  • Mkt initially shrugged on ECB leaving key deposit rate at -0.5%; subtle statement change omits "and in either direction" in shift to next step in addressing inflation.
  • Early buying from prop accts playing the range evaporated after ECB Lagarde presser failed to calm hawks, chances of rate hike sooner than later on the rise.
  • Little react to US weekly claims data this morning (238k vs. 245k est), Unit Labor Costs +.3% vs. 1.0% est.
  • More focus on Fri's employment data for Jan (+150k est vs. +199k in Dec) -- little change to estimate after Wed's ADP private employ miss (-301k vs. +180k est).
  • Tsy yields higher but off high: 30YY climbed to 2.1822% high (vs. 2.0886 opening low) finished 2.1473%; 10YY 1.8450% high finished 1.8217%.
  • Eurodollar and Treasury option flow faded the sell-off, active trade in buying calls and call plays while unwinding or taking profits in put positions. Dec put condor Block sale appears to be bet on futures not adding any more than current 125bp in hikes by year end: +12,610 Dec 98.37/98.62/98.87/99.12 put condors, 6.0 vs. 98.445 at 1015:00ET.
  • Note on equities: extending lows, tech shares heavy after Meta earnings/outlook miss. Eyes on Amazon annc after shares close (3.57 eps est).
  • The 2-Yr yield is up 3.2bps at 1.1859%, 5-Yr is up 4.6bps at 1.654%, 10-Yr is up 4.3bps at 1.8181%, and 30-Yr is up 2.9bps at 2.137%.
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