Archive for the ‘Eurodollar Options’ Category

Rate vol surges

June 14, 2019 –Amazing bid to vol Thursday.  The chart below shows how treasury vol has exploded as compared to VIX.  While one can point to tanker attacks in the Gulf of Oman and Sec’y of State Pompeo naming Iran as the culprit later in the day, stocks took that information in stride.  However, interest […]

Posted on June 14, 2019 at 5:10 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

They ALWAYS buy when the Blues win the Stanley Cup

June 13, 2019 –Crude oil bouncing this morning after plunging over $2/bbl yesterday to settle 5114 near a new low.  I guess that’s good.  Except that the catalyst was an alleged attack on tankers in the Gulf of Oman.  In any case, stocks have also seen buying and rate futures are higher this morning. –CPI […]

Posted on June 13, 2019 at 5:11 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Markets keep pushing the ease

June 12, 2019 –Markets are starting the day on their back foot with oil -160 at 51.67 (CLN9) and stocks lower.  Rate futures are higher going into today’s CPI data and ten year auction.  While the ten year yield was essentially unchanged yesterday at 2.138%, the eurodollar strip flattened, with EDU9 and EDZ9 the weakest […]

Posted on June 12, 2019 at 4:59 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Bizarro Markets

June 9, 2019 – Weekly Comment Last week I started with this line, “This week, the markets eased.”  In the week just ended, the trend continued, but the ease was pulled forward in time.  The most glaring example can be seen in the July’19/August’19 Fed Fund spread which closed at -20 on Friday from -10 […]

Posted on June 9, 2019 at 8:13 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Carnage in short rate options

June 6, 2019 –The extraordinary rally in euodollars continues.  In a little over a month, since early May, many contracts have rallied 55 to 70 bps, without an overt ease from the Fed and without any substantial catalyst.  ISM data remains above 50, with yesterday’s services posting a solid 61.2.  There has been no banking […]

Posted on June 6, 2019 at 5:20 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

JAN 2020 Fed Funds

FFF0 now print new high 9836.  It has rallied 50 bps just since May 21. It’s 74 bps lower in yield than current Fed Eff of 2.38.  THREE EASES BY END OF YEAR PRICED.

Posted on June 5, 2019 at 7:53 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Aggressive ease pricing sees a pause

June 5, 2019 –Having aggressively priced Fed easing over the past several sessions, interest rate futures pulled back yesterday.  The ten year yield rose 4 bps to 2.12%.  Green euro$ pack fell 5.5 bps (weakest on the strip).  However, October Fed Funds closed +2 on the day at 9801.0 or 1.99%, around 40 bps below […]

Posted on June 5, 2019 at 5:14 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

US 10Y yield at lowest since Trump was elected

June 4, 2019 –Now THAT was a proper rally.   The strongest eurodollar contracts moved forward on the curve with EDZ9 and EDH0 leading, up 13.5 on the day.  Credit Suisse was out early with a note saying the first ease might be in July, and Bullard followed, saying a cut might be warranted due to […]

Posted on June 4, 2019 at 5:14 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

EASE. Or we’ll do it for you

June 2, 2019. – Weekly comment This week, the markets eased.  The two year note fell just over 21 bps to yield 1.944.  October Fed funds, which is the contract just after the September FOMC, settled 97.885 or 2.115% against the current Fed Effective rate of 2.38%, a spread of 26.5.  The market has fully […]

Posted on June 2, 2019 at 11:59 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

US ten year vs German Bund

Posted on May 31, 2019 at 7:10 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options