Archive for the ‘Eurodollar Options’ Category

Feb 25, 2018. Showtime for Powell

The past week saw new highs in US yields, new highs in many Eurodollar calendar spreads, a new high in fra/ois, all associated with the release of the FOMC minutes on Wednesday.  From there, everything pulled back slightly into Friday.  Week over week changes in rates were relatively small; tens were down 0.5 bp to […]

Posted on February 25, 2018 at 6:45 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 23. An – B A N G ! !

–BIG story this morning is China’s takeover of Anbang Insurance Group. (A couple of BBG links at bottom). There have been many stories about China taking steps to deal with bad debt and malinvestment, and this is a HUGE concrete example.  What happens when debts become unwieldy and debt service costs are met by piling […]

Posted on February 23, 2018 at 4:08 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 22. Yields are going the way of lumber : higher

–New high yields across the curve yesterday.  Ten year yield rose 4.8 bps to 293.9.  At futures settlement I marked the bond at 322.1, essentially right at the high yield mark of last year in March. Curve was marginally steeper; red/gold pack spread gained 0.625 bp.  On the dollar curve there were new high settlements […]

Posted on February 22, 2018 at 5:15 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 21. Five year. Auction and calls

–Curve flattened Tuesday as the treasury auctioned 2 year notes.  Red and green eurodollars were weakest contracts on the board, -3.625 and -3.75. Tens rose 1.6 bps to 289.1. Good size buying in EDH9 9700p for 3.5 in size about 50k (OI +34k, EDH9 settled 9741.5 and puts at 3.25).  There were a few other […]

Posted on February 21, 2018 at 5:15 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 18. Veisalgia – ‘Uneasiness following debauchery’

My web surfing research was freewheeling for this note.  First, I thought I would delve into the Chinese New Year, Year of the Dog.  Somehow, this morphed into Hair of the Dog, which turned out to be a much more productive and useful thread of inquiry, and led to this week’s title, “Veisalgia” which was […]

Posted on February 18, 2018 at 1:45 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 16. Volatility deflates as curve flattens and dollar falls

–Curve flattened and long end vol was crushed on Thursday. April 10y vol back at just 4.5. There were some large put trades on near contracts, exit seller of at least 75k EDU8 9800/9775ps at 20..5, but a buyer of EDM 9775/9762ps, 3.25 for at least 40k, and buying of 0EM 9725/9700ps for 3.5 in […]

Posted on February 16, 2018 at 5:14 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 15. End of Day…Fixed Income Vol Hammered

Treasury vol hammered Thursday, Feb 15.  Most of the inflation news was already released this week (Wed CPI was the big one) and the curve flattened.  5/30 was 61.5 last Friday and 51 late Thursday.

Posted on February 15, 2018 at 3:10 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 15, 2018. The Zimbabwe Rally

February 15, 2018.  The Zimbabwe Rally –Huge day in fixed income as inflation concerns jumped with yesterday’s 0.5 print on CPI.  Core yoy was +1.8 and Retail Sales were a bit soft (-0.3 vs +0.2 expected), but the remaining piece of the rate rise puzzle had been price acceleration, and this data, along with the […]

Posted on February 15, 2018 at 5:00 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 13. Adjustments back to normal?

–Rates were slightly higher as equities rebounded.  Tens rose 3 bps to 285.7.  In dollars, greens, blues and golds were down 3.5 bps.  It was an adjustment day.  Open interest in ESH was -89k.  Implied vol across the interest rate curve plunged.  For example, On Friday, 3EH 9712^ settled 25.0 and yesterday just 21.5.  2EU […]

Posted on February 13, 2018 at 4:59 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 12. Stockman’s been sounding that same warning (for the past 33 years)

–In an echo of Ronald Reagan’s administration, US Budget Director Mick Mulvaney said larger deficits this year may cause interest rates to “spike” and said further, “…rising budget deficits are “a very dangerous idea, but it’s the world we live in.”  In Reagan’s day the budget director was David Stockman, the supply side guru who […]

Posted on February 12, 2018 at 5:13 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options