Archive for the ‘Eurodollar Options’ Category

Euro$ calendars portend a larger rate shift

Oct 18, 2019 –Rates edged slightly higher yesterday in spite of weaker than expected data with Housing Starts -9.4%, Ind Prod -0.1 and Philly Fed just 5.6.  There was notable put buying in treasuries prior to the day session, with a new purchase of 55k TYZ 128p for 12. (settled 13 ref 129-29).  During the […]

Posted on October 18, 2019 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Sharknado

Oct 17, 2019 –This morning EDZ9 is the weakest contract on the board, trading -3 at 9808.5 (red pack -1.75 as of this writing).  It appears as if tightness in funding markets is expected to persist thru year-end.  Interestingly, yesterday’s settlements in near Fed Fund contracts show increasing certainty of an ease at the October […]

Posted on October 17, 2019 at 5:16 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Growth questionable, but rate markets trade like a bear

Oct 16, 2019 –Rates pressed higher Tuesday and the curve steepened as stocks soared.  A Brexit deal appears closer, supporting GBP and stocks, and of course, optimism surrounding a resolution to the US/China trade war is also a factor, though China is threatening to retaliate if the US passes a Hong Kong bill.  The ten […]

Posted on October 16, 2019 at 5:00 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Treasury jitters

Oct 13, 2019 – Weekly Comment Last Sunday, referring to the week ended 4-October, I wrote, “The two-year yield dropped over 23 bps… In my book, that’s an ease!”  What a difference a week makes.  Because this week, the market recaptured that ease, and then some.  Usually in the table at bottom, I just note […]

Posted on October 13, 2019 at 12:20 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Risk off in US bonds, but risk ON in mideast

Oct 11, 2019 –Yields continued to press higher, with tens up 7 bps to 1.656% as trade optimism leads to paring back of “risk-off” trades.  Eurodollars from reds to golds were -8.5 to -7.0.  Going into today’s October midcurve expiration, it’s worth noting that Green Dec (EDZ21) has dropped 17 bps in the week from […]

Posted on October 11, 2019 at 5:16 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

US yields edge up as Greece funds at negative rates

Oct 10, 2019 –Rates backed up a bit more on Wednesday, as stocks firmed on renewed hopes of progress in US/China trade talks.  Tens rose nearly 5 bps to 1.585% and EDU0 and EDZ0, the weakest ED contracts on the board, settled -7.5.  The curve was a bit flatter.  On Monday, the ten-year inflation indexed […]

Posted on October 10, 2019 at 5:11 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Fed has ONE mandate: Keep funding costs low

Oct 9, 2019 –Yields fell  with tens down 1.4 bps to 1.537%.  Curve slightly steeper as Powell said the Fed would once again expand the balance sheet by buying bills to create a reserve buffer. He said the Fed prefers to administer rates through reserves rather than continuous market operations.  The very fact that the […]

Posted on October 9, 2019 at 5:20 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Fraying at the corners

Oct 8, 2019 –Yields rose and the curve flattened Monday on light trade, with upcoming inflation figures and supply weighing.  Tens up 4.4 bps to 1.551%.  Reds, weakest on the dollar curve, closing -6.375, greens -5.75, blues -5.125 and golds -4.125.  Implied vol declined.  For example, last Tuesday, ED prices were within a couple of […]

Posted on October 8, 2019 at 5:06 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

To start the week…

Oct 7, 2019 –In spite of a spirited 40 point rally in ES on Friday, (Nasdaq and SPX both up 1.4%), yields remain close to recent all time lows.  Tens fell 2.2 bps to 1.507%, and that’s in the face of this week’s supply of 3, 10 and 30 year paper.  In response to new […]

Posted on October 7, 2019 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Send Lawyers Guns and Money

Oct 6, 2019 Weekly Comment How was I to know, she was with the Russians too. –Warren Zevon  The first comments on the thread of this youtube video are “I’m playing this loud, to annoy the neighbours, as revenge for waking me up with the hedge trimmer.”  In response, “I don’t always listen to Zevon, […]

Posted on October 6, 2019 at 10:44 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options