Archive for the ‘Eurodollar Options’ Category

Risks spreading

January 23, 2020 –The Wuhan virus has caused the Chinese gov’t to quarantine the city (with more likely to follow).  While there are various reports with exact numbers of infected and dead, other sources suggest a far broader risk; hospitals swamped, the virus has spread to every province, “the severity of the outbreak has alarmed […]

Posted on January 23, 2020 at 5:14 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

A bid for long dated USD assets

January 22, 2020 –Stocks are at new highs this morning, shrugging off concerns about the Wuhan flu.  Negotiators say there are o immediate plans for US/China Phase 2 talks (probably until this whole pandemic thing blows over).  Treasuries have barely given back any of yesterday’s gains.  Tesla has exceeded $100 billion in market cap. –Tens […]

Posted on January 22, 2020 at 5:05 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Human Contact

January 21, 2020 –Now it’s all about the Wuhan coronavirus that is spread by human contact, potentially made worse by travel plans during the lunar new year.  US stock futures down just 40 to 50 bps from record highs last week.  Hang Seng down 2.8%, Nikkei down 90 bps.  TYH traded a high of 129-155, […]

Posted on January 21, 2020 at 5:35 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

No Free Lunch

January 19, 2020 – Weekly Comment On Wednesday, Dallas Fed President and 2020 FOMC voting member Robert Kaplan said this in an interview: “It’s a derivative of QE when we buy bills and we inject more liquidity, it affects risk assets.  This is why I say growth in the balance sheet is not free.  There’s […]

Posted on January 19, 2020 at 11:27 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

More bonds

January 17. 2020 –Stealing Bernie’s thunder: We’ll issue more bonds to pay for a middle class tax cut… –Tens are unchanged this morning while USH contract is down 20/32 as the US says it will begin to auction 20-yr bonds to help fund the deficit.  Yesterday tens rose 1.4 bps to 1.802% on solid retail […]

Posted on January 17, 2020 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Making up excuses to buy palladium

Jan 16, 2020 –Not a lot to talk about in rate markets.  Ten year yield fell another 2.8 bps to 1.788%.  The curve eased to new lows for this new year, with 2/10 down just over 1 bp to 22.8 and red/gold euro$ pack spread at essentially the same level, 22.625, also a new recent […]

Posted on January 16, 2020 at 5:18 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Gingerly withdrawing liquidity

January 15, 2020 –Today is the US/China Phase 1 signing.  It’s also settlement day for last week’s auctions and a tax date, but there appears to be plenty of liquidity.  Yesterday afternoon the Fed released the Jan/Feb repo schedule, which shows a modest $5 billion decline in 2-week term repos starting in February (down to […]

Posted on January 15, 2020 at 5:27 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Reverse manipulation

January 14, 2020 –(AP) The US budget deficit thru the first three months of this budget year is up 11.8% from the same period a year ago, putting the country on track to record its first $1 trillion deficit in eight years.  Both spending and revenues set records but spending rose at a faster clip.   […]

Posted on January 14, 2020 at 5:08 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Msft, Aapl, Googl, Amzn

January 13, 2020 –Yields fell and implied vol was hammered Friday in the wake of Friday’s payroll data which was slightly weaker than expected with NFP 145k and yoy earnings at 2.9% vs 3.1% expected.  The ten year yield dropped to 1.821%, down 3.4 bps.  The curve flattened with twos down only 0.6 bp to […]

Posted on January 13, 2020 at 5:33 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Fed pumps, vol dumps

January 12, 2020 – Weekly comment Starting this week with a chart on volatility.  The white line (right hand scale) is TY vol and the green line (left hand scale) is VIX.  The high in VIX (>35) occurred at the end of 2018, as stocks were crumbling after the Fed’s final December 2018 hike.  The […]

Posted on January 12, 2020 at 8:15 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options