Archive for the ‘Eurodollar Options’ Category

June 22. First weekend of summer, have some tequila

–Yesterday featured outside day ranges in emini-SP, Nasdaq and Russell, with the latter two posting new contract highs, outside ranges and lower closes.  The excuse was the Supreme Court ruling allowing states’ taxation of the internet, which can perhaps spread to a broader sense of unease regarding fiscal imbalances.  We had the tax cut, but […]

Posted on June 22, 2018 at 5:24 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

June 21. Another 100 bps higher by next summer solstice?

–Yields rose yesterday and the curve had a slight steepening bias; 2y note +1.3 bps and 10s +3.3 for a close in 2/10 of 36.8.  Red/gold pack spread was also +2 on the day, bouncing from Tuesday’s cycle low of just 2.875 bps.  Notable weakness in FF contracts as Fed Effective printed 1.91 for Tuesday […]

Posted on June 21, 2018 at 5:31 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

June 20. Short market cycles

–Like every other market disturbance, this one, (Trump’s threat of another $200b tariffs to be levied on China) caused an immediate market dislocation that faded within 24 hrs. Russell index closed at its high and is at a new ath this morning. GE, which was the largest stock by market cap in 2001 at $400b, […]

Posted on June 20, 2018 at 5:23 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

June 19. Summer’s here, turn up the heat

–So the strategy is to turn up the pressure until the other side buckles… it worked with N Korea right?  Might not be so easy with China.  CNY at five month low 6.4754.  SHCOMP well below 3000 support level (2907).  ESU -33 as of this writing and TYU above the 120 strike. (Trump floats another […]

Posted on June 19, 2018 at 5:27 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

June 18, 2018. Is the Fed too tight?

–With today’s expiration of EDM18, Sept contracts are now the lead.  The back end of the euro$ curve further inverted on Friday, with EDU20/EDU21 and EDZ20/EDZ21 being the low points, both settled -1.5.  Using Sept’19 as the front red, the red/green pack spread settled at just 2 bps and the red/gold pack spread just over […]

Posted on June 18, 2018 at 5:21 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

June 17. A Courtesy Nod to Economic Projections

-You try to gimme your money / you better save it babe / save it for your rainy day Jimi Hendrix / Fire     One of the interesting things about the Fed’s Summary of Economic Projections (SEP) released last week is the forecast for the unemployment rate.  For the end of 2018 it’s projected […]

Posted on June 17, 2018 at 11:06 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

June 15. Eurodollar curve inverts: 2020 to 2021 contracts

  –The event of the day was the ECB meeting, where the central bank vowed to keep rates unchanged until summer 2019.   EUR had a huge outside day, initially rallying and then plunging, high of 1.1851 and low at end of day at 1.1577.  Dollar strength is causing further trouble for emerging markets, with JPM FX […]

Posted on June 15, 2018 at 5:20 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

June 14. Nasdaq vs Shanghai Comp

Posted on June 14, 2018 at 1:00 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

June 14. The Fed’s ‘America First’ Policy

-As advertised, the Fed raised the FF target range by 25 bps, and IOER by 20 bps.  The statement was altered to indicate decreased accommodation.  In terms of SEP, FF in 2018 were projected to end 2018 at 2.4 vs 2.1 in March, and Core PCE went from 1.9 to 2.0, while PCE went from […]

Posted on June 14, 2018 at 5:29 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

June 13. FOMC…. a bearish hike?

–Today brings the FOMC announcement, with near 100% expectation of a rate increase.  Focus will be on the change in wording, perhaps to something like “the stance of policy remains MODESTLY accommodative.”  Reuters cites Goldman in this snippet: The last time such a change occurred was in September 2005 when rates were raised from 3.50 percent to 3.75 percent, “into the range of (neutral) estimates” given […]

Posted on June 13, 2018 at 5:26 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options