Archive for the ‘Eurodollar Options’ Category

Jan 18, 2018. Short end yields post new highs

–Yields rose yesterday with tens up 3.3 bps to 257.4.  Last year high yield was 262.7, should equate to around 122-09 in TYH; this morning’s low so far 122-12+.  There were some analysts attributing weakness in bonds to AAPL’s announcement of repatriation which will cause a $38 billion tax bill to Uncle Sam; the idea […]

Posted on January 18, 2018 at 5:00 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jan 17. Rallies fizzle

–Tuesday started with a mad grab for stocks, but the party fizzled later in the session.  Bitcoin mania has cooled for now, holding just above 10000 this morning, about half the level from the high at which the CME futures contract debuted last month. –The curve flattened with 5/30 treasury spread closing at a new […]

Posted on January 17, 2018 at 5:23 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jan 16. Increased revenue visibility

–(Reuters) “The China Banking Regulatory Commission (CBRC) said late on Saturday in a statement that its priorities included increasing supervision over shadow banking and interbank activities.”  Not much of a surprise as it’s already having an impact.  BBG reported 2 weeks ago that Jack Ma’s Ant Financial was suspending bond sales backed by consumer loans, […]

Posted on January 16, 2018 at 5:22 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Lifting the Lid. Weekly comment, Jan 14, 2018

Last week I discussed Dudley’s definition of financial conditions in conjunction with some old Powell quotes, and concluded that a Powell Fed might be more inclined to tighten financial conditions by, for example, stepping back from the Fed put. The idea is that one of the Fed’s goals should be to make sure currently benign […]

Posted on January 14, 2018 at 9:37 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jan 12, 2018. ECB sentiment shift

–PPI lower than expected yesterday at -0.1%, but the driving factor early in the day was ECB news that forward guidance may need to be reconsidered given continued reflation.  European bonds immediately sold off.  However, US rate futures regained early losses and closed up on the day.  CPI today expected +0.1 with Core +0.2, and […]

Posted on January 12, 2018 at 5:25 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jan 11, 2018. China threat

–Story of the day was an article citing Chinese officials: considering slowing or halting purchases of US treasuries.  An already weak market quickly reacted, with a jump to higher yields.  The high in the US ten year in 2017 was 262.7, and shortly after the China article came out, the yield touched 259.5 (which was […]

Posted on January 11, 2018 at 5:17 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jan 10, 2018. Ursa

–The idea of less CB bond buying going forward is seeping into the consciousness of the market as the BoJ yesterday said it would trim purchases of longer dated securities.  In the US, the ten year note jumped 6.2 bps to close 254.  The curve steepened, with 2’s only up 0.8 to 196.4, and 30y […]

Posted on January 10, 2018 at 4:49 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jan 9, 2018. The Mullet

–Interest rate trading was uneventful yesterday, with most settles within a basis point of Friday’s close.  Treasury premium selling was an early feature, for example TYH 122.5/124.5 strangle sold at 29, 5k (settled 28).  TYH 123.5^ was 1’11 bid early but settled 1’09.  USH 152 straddle settled 3’02, right at 7%. –Atlanta Fed President (voter […]

Posted on January 9, 2018 at 5:21 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jan 8, 2018. Interesting articles

–Friday’s NFP of just 148k swung in the opposite direction (relative to expectations) of ADP’s explosive 250k print.  An initial rally in fixed income was quickly snuffed, and rates closed higher on the day, with tens +2.5 bps to 247.4.  Trade of the day was a sale of 125k or more EDZ8/EDZ9/EDZ0 butterflies down to […]

Posted on January 8, 2018 at 5:25 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jan 7, 2018. Dynamic Markets

Markets can be much more dynamic than we appear to think.  –Jerome Powell, from the October 2012 FOMC transcripts.  (That’s gold Jerry!  GOLD!) The Fed just released transcripts from the meetings in 2012.  I have included the link to the October 2012 meeting below.  It’s 246 pages long; I’ve excerpted some salient points.  What I […]

Posted on January 7, 2018 at 11:30 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options