Archive for the ‘Eurodollar Options’ Category

Risks building for stocks and bonds

November 11, 2019 –Hang Seng down 2.6% as violence in Hong Kong escalates and Shanghai Comp -1.8%.  US stock futures also point to a lower open on this holiday session and bonds are seeing a very modest bounce.    –Curve continued to steepen Friday with 2/10 posting a new high at 26.6.  Twos fell 1.1 […]

Posted on November 11, 2019 at 6:41 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Another case of repo indigestion coming?

November 10. 2019 https://www.bloomberg.com/news/audio/2019-11-08/why-the-repo-markets-went-crazy-podcast I am starting with a link from Bloomberg which is a podcast with Zoltan Poszar about repo and liquidity issues.  It’s about 50 minutes long, but well worth the listen.  On Friday, I saw this trade, EDZ9 9800/9812 strangle sold at 3.25.  The 98.125c settled 2.5 and the 98.00p settled 1.0.   […]

Posted on November 10, 2019 at 2:39 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Big yield jump; limited from here?

Nov 8, 2019 –Big day Thursday.  Yields jumped with tens up 10.5 bps to 1.917%.  New high in 2/10 at 24.4, up 3.7 on the day.  All near euro$ calendar spreads made new highs.  EDH20/EDH21 rose 6 bps to -11.5.  EDU20/EDU21 settled POSITIVE 0.5 bp, with all spreads following also positive.  Reds/greens up nearly 3 […]

Posted on November 8, 2019 at 5:09 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

It’s like some sort of water torture

Nov 7, 2019 –Yields fell yesterday with tens -5.3 bps to 1.812%, buttressed by a solid auction.  Early in the session there was a buyer of 100k TYZ 131c for 3 (settled 4 vs 129-105, OI +40k).  Prior to the auction, news of a delay in the US/China agreement sparked short cover buying; open interest […]

Posted on November 7, 2019 at 5:10 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Supply inspired steepening

Nov 6, 2019 –Bear steepener Tuesday with 2’s up 4.3 bps to 1.633% and 10s up 8.1 bps to 1.865%.  While 2/5 treasury spread made a new high yesterday (chart) at 3.6 bps, 2/10 and 5/30 remain below previous highs.  2/10 closed at 23.2 vs a high of 28.2 in mid-Sept and 5/30 at 67.6 […]

Posted on November 6, 2019 at 5:10 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Beyond reds

November 5, 2019 –Does supply matter?  We’re about to find out this week as treasuries look to re-test the lows made just prior to the FOMC meeting last week, as auctions kick off with today’s $38 billion 3-yr (followed by 10’s and 30’s Wed and Thursday).  Aside from supply, US/China talks appear to be progressing.  […]

Posted on November 5, 2019 at 5:12 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

The big data’s out, let’s sell some bonds

Nov 4, 2019 –New highs in stocks this Monday morning due to (I guess I’ll just chant this with everyone else) optimism on a China/US trade deal.  Of course, central bank support continues to play a role, but that’s less apparent in the bond market with auctions of 3, 10 and 30 year treasuries this […]

Posted on November 4, 2019 at 4:30 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

It’s a mad world

November 3, 2019 – Weekly In 2018, the dollar growth of nominal GDP was less than the dollar growth of the national debt. That means that there is no growth. We’re having an illusion of growth. It means that we’re issuing IOUs and spending it, and it shows up in the calculations as growth. But […]

Posted on November 3, 2019 at 11:02 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

In a good place

Nov 1, 2019 –The treasury curve shifted lower by 10 bps or more.  Tens fell 10.7 to 1.687%.  Greens were the star performers on the euro$ curve, closing +13.625.  It’s almost as if the Fed (unexpectedly) eased!  The high contracts on the ED curve are June and Sept’21 at 98.625 or just  1.375%.  Coincidentally, April […]

Posted on November 1, 2019 at 5:11 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

That’s all folks!

Oct 31, 2019 –As of the 3:00pm settle, tens were down 3.9 bps to 1.794% and bonds down 5.6 bps to 2.272%.  However, the rally continued after Powell’s press conference.  The Fed cut another 25 bps and signaled a pause, pretty much in line with what eurodollar calendar spreads had been signaling.  Nov FF settled […]

Posted on October 31, 2019 at 5:13 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options