Archive for the ‘Eurodollar Options’ Category

The market is demanding an ease NOW.

Oct 4, 2019 –Service ISM came out at 52.5, the weakest since Q3 2016, confirming the Mfg ISM flop.  Recall that July 2016 was the all-time low 10y yield at 1.365.  Yesterday’s close was 17 bps away at 1.529% (-6.3 on the day).  The curve steepened, but interestingly, implied vol eased, perhaps partially in sympathy […]

Posted on October 4, 2019 at 5:11 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Tin Men

Oct 3, 2019 One of my all-time favorite movies is Tin Men, with Danny Devito and Richard Drefuss, which details the exploits of aluminum siding salesmen in the 1960’s. You know it’s the 60’s because of the tailfins on the Cadillacs! Anyway, I was reminded of the clip below as Schwab and others cut commissions […]

Posted on October 3, 2019 at 8:08 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Service ISM to Confirm Mfg Weakness?

Oct 3, 2019 –Yields fell and the curve steepened at SPX fell 1.8% yesterday.  Besides the technical and seasonal aspect to the decline in equity markets, I would attribute the fall to several reasons 1) Mfg ISM underscored global mfg weakness 2) Political impeachment drama and a shift left 3) WeWork implosion caused renewed uncertainty […]

Posted on October 3, 2019 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

WeSell

October 2, 2019 –Interest rate futures opened lower across the board yesterday, but the weakest Mfg ISM number since 2009 (47.8) sparked whiplash, with tens ultimately falling 3.5 bps to 1.64%.  Employment sub-index fell to 46.3. The curve steepened as odds for near term easing jumped.  Oct/Nov FF spread was -9.25 before the data but […]

Posted on October 2, 2019 at 5:18 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

When CBs CUT bond purchases

Oct 1, 2019 –Fixed income under pressure this morning as a Japanese gov’t 10 year bond sale went poorly due to BOJ indicating plans to slash bond purchases.  According to BBG, 10y JGB yield jumped 5.5 bps to -16.   https://www.bloomberg.com/news/articles/2019-10-01/bond-traders-sound-alarm-in-japan-with-weakest-auction-in-years?srnd=premiumThis, just as the Fed is about to increase its bond portfolio.  As we’ve seen, moves […]

Posted on October 1, 2019 at 5:17 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

The Fourth Quarter

Sept 30, 2019 –Stock futures have rebounded (ESZ currently +10.25 at 2974.00) and fixed income is under modest profit taking pressure as the US administration walked back the idea of delisting China shares.  The prospect of the trade war moving into capital flows would be a large escalation, but appears to be sidelined for now.  […]

Posted on September 30, 2019 at 5:13 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Crowding Out

Sept 29, 2019 – Weekly[Note: due to a change in hosting, charts are temporarily not being displayed] WINSTON: Hey, Ray. Do you remember something in the Bible about the last days, when the dead would rise from the grave? RAY: I remember Revelation 7:12. And I looked, as he opened the sixth seal, and behold, […]

Posted on September 29, 2019 at 1:50 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Impeachment sparks a flight INTO the dollar?!?

Sept 27. 2019 –The dollar index settled at its highest level since May 2017 as EUR posts a new low testing 109.  Economies with dollar based loans are likely to encounter stress, though effects appear minor thus far.  Stocks slightly weaker due to impeachment uncertainties.  WeWork was downgraded to ‘hoping to survive’ as the company […]

Posted on September 27, 2019 at 6:09 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Funding Issues Gaining Importance

Sept 26, 2019 –Rates jumped yesterday, more than reversing Tuesday’s fall as stocks reacted positively to Trump releasing the Ukraine call transcript.  In euro$’s reds through golds fell 9 to 10.5.  The ten year yield likewise rose 10 bps as the five year auction was slightly soft; sevens auctioned today.   While Fed officials are mostly […]

Posted on September 27, 2019 at 6:07 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Eat A (im)Peach

Sept 25, 2019 –Stocks and yields fell yesterday as Speaker Pelosi opened formal impeachment proceedings.  Tens fell 7.6 bps to 1.64% in front of today’s five year auction and tomorrow’s 7-year.  On the euro$ curve, reds led the way, closing +9.375 bps.  Greens through golds were up 8 to 9.  Volume relatively light but there […]

Posted on September 27, 2019 at 6:04 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options