Archive for the ‘Eurodollar Options’ Category

Dec 12. If only there were some clues

–Highlighting a few disaster trades from yesterday:  EDZ19 9850/9900cs 0.5 paid for 11k and EDZ20 9850/9900cs 4.0 paid for 30k, both new positions.  Continued buying of 3EU 9800c, yesterday at a price of 6, but only 1500 trade (now near 240k open).  These appear to be disaster trades, anticipating economic malaise or worse, with an […]

Posted on December 12, 2018 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Dec 11, 2018. Confidence crumble

–Ten year yield rose by just 1 bp yesterday to 2.854%.  The eurodollar strip was up 2-2.5 out to the first three years.  However, the red/green pack spread notched a new low, closing down 0.25 bp to just under MINUS 8.  Weakness in EDZ9 continues, with that contract being the cheapest on the strip in […]

Posted on December 11, 2018 at 4:57 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Dec 10, 2018. Broken Windows

  –Goldman rescinded its forecast for a March hike.  A cursory glance at the Fed Funds futures curve tells you the same thing, as Feb/April FF spread which had been trading above 12.5 a couple of weeks ago, settled at just 6 on Friday.  The Bank of France cut economic growth forecasts for the 4th […]

Posted on December 10, 2018 at 5:21 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Dec 9, 2018. Overkill

I watched a fascinating documentary last week on bodies that had been excavated from peat bogs in Ireland and Denmark from the Iron Age (2000 BC).  These bogs preserve the tissue and it remains pliable thousands of years later.  This show specifically dealt with Cashel Man, found in a bog near Cashel in County Laois, […]

Posted on December 9, 2018 at 5:44 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Dec 5. You’re drunk camel. Go home.

–Monday I noted a disconnect between the flattening curve and stock rally, saying that declining yields in the back end of the curve signified an economic deep freeze.  Overstated perhaps, but yesterday the exuberance following the US/China confab evaporated and SPX fell 3.2%.  Russell and DJ Transports were down 4.4%.  FedEx fell 6.3%.  Goldman and […]

Posted on December 5, 2018 at 7:45 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

DEC 4. EDZ9 starts and ends the year with action

–Interesting price action.  Stocks rallied as if the economic malaise associated with a trade war had lifted, while the back end of the eurodollar curve flattened to new lows as if an economic deep freeze is right around the corner.  Two charts below: the top is 2/10 which cratered by 5 bps yesterday (as of […]

Posted on December 4, 2018 at 5:14 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Dec 3. Party on Garth

–Markets have embraced detente between US and China, with rallies in stocks, oil, gold.  Both sides can claim progress as a ‘growth win’.  USD slightly weaker but a move to higher rates underpins the greenback. –Brainard speaks today on Treasury Market Structure at 10:30.  Possible clues about ongoing QT. –New lows in all near ED […]

Posted on December 3, 2018 at 5:12 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Dec 2. ROLL TIDE

They got a name for the winners in the world I want a name when I lose They call Alabama the Crimson Tide Call me Deacon Blues   –Steely Dan, Deacon Blues   I couldn’t decide whether to go with ‘Roll Tide’ or ‘Winning’, popularized by Charlie Sheen, for the title to this note.  Had to […]

Posted on December 2, 2018 at 12:30 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Nov 29. Well played

–The optics are that Trump bullied Powell into changing his stance on forward tightening.  It can easily be argued that Trump DID change Powell’s mind, by damaging values of other markets.  Was it the Fed’s tightening or Trump’s trade policies that caused a big stock sell -off?  Was it tighter US monetary policy that knee-capped oil?  […]

Posted on November 29, 2018 at 5:13 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Powell flip. It’s amazing what a loss in equity portfolios does for perceptions of “neutral”

Chart below is SPX.  When Powell said in an interview on October 3 that the Fed was a long way from neutral, stocks were near the highs.  The front WTI Crude Oil contract was over $76/bbl.  Now CLF is under $51/bbl.  Large declines in both of these markets caused the Fed to re-think it, and […]

Posted on November 28, 2018 at 3:27 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options