Archive for the ‘Eurodollar Options’ Category

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

Payroll Friday

January 10, 2020 –Stock futures at new highs this morning.  Treasuries mixed with the curve slightly flatter.  Yields fell yesterday despite the 30 year auction; the ten year fell 1.7 bps to 1.855%.   –Today brings the Employment report with NFP expected 160k from 266 last.  YOY earnings expected +3.1%, same as last.  Atlanta Fed’s median […]

Posted on January 10, 2020 at 5:10 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

All Clear

January 9, 2020 –Markets had violent reversals from Monday evening’s panic related to Iran’s impotent missile response.  Stocks ended at all time highs.  WTI crude posted a huge range and closed below 60, nearly 10% off the high print.  Yields finished higher on the day with tens +4.7 bps at 1.872%.  On the euro$ strip […]

Posted on January 9, 2020 at 5:01 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Got your six

Jan 8, 2019 –Iran lobbed missiles at US forces in Iraq, seriously escalating tensions.  Equity futures plunged to new lows but came nearly all the way back, tens and bonds exploded higher but have also given back much of their early gains.  ESH now 46 points off the low of 3181.00.  Gold (GCG0) surged to […]

Posted on January 8, 2020 at 5:49 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

call the repo man

January 7, 2020 –Once again, overnight moves on Monday morning were faded with stocks grinding back to end positive on the day (and higher yet this morning).  Gold was able to hang on to gains, with GCG0 closing +16.4 at 1568.80.  The Suleimani situation is ‘contained’.  Rate futures were quiet.  Ten year yield rose 2.3 […]

Posted on January 7, 2020 at 5:06 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Saftey bid, but near term easing not likely

January 6, 2020 –Well at least the China deal is progressing along smoothly, right?  This morning Feb Gold traded 1580, up $100/oz from mid-December.  WTI crude (CLG0) is 63.80 with a high of 64.72, having started December around 56.  Rate futures are only slightly bid, facing auctions of 3s, 10s and 30’s this week.  On […]

Posted on January 6, 2020 at 5:10 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Optical Accuracy

January 5, 2020 – Weekly Comment I read a paper this week: ‘On the Optical Accuracy of the Salvator Mundi’.  The paper is by a few computer scientists and concerns whether Leonardo accurately depicted the properties of the translucent orb in the painting in “an optically faithful manner”.  The scientists ran a series of computer […]

Posted on January 5, 2020 at 4:51 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Rapid Response

January 3, 2020 –That escalated quickly.  After assaults on the US Embassy in Iraq, on Wednesday “Iran’s Supreme Leader Ayatollah Ali Khamenei….said Washington ‘can’t do anything’”. Yesterday a US strike killed top Iranian General Qassem Soleimani at the Baghdad airport, along with an Iraqi military leader whose group is supported by Iran.  Flows into safe […]

Posted on January 3, 2020 at 4:58 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Steeper end to 2019. More to come?

January 2, 2020 –China cut reserve ratios for large banks by 50 bps to 12.5% yesterday, giving a jolt to equities to kick off the new year.  Protesters have apparently pulled back from the US Embassy in Iraq, though that situation could easily flare up again. –Friday featured slightly higher yields in a session where […]

Posted on January 2, 2020 at 5:08 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options