Archive for the ‘Eurodollar Options’ Category

3-Month Libor Assumptions – up 25 per hike?

Posted on October 16, 2018 at 10:35 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Oct 16. Front end weakness

–Yields rose across the board yesterday with tens up 2.2 bps to 316.1.  Front end contracts under pressure, a combination of an increase in the turn and libor/ois widening.  Early new selling in EDX8 contract at 9742.5-42, contract settled 97.4125.  Jan Fed funds were unchanged at 9762.0, while EDZ8 fell 2.0 to 9730.5, which caused […]

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

Self Reinforcing Tighter Conditions

Starting with a couple of charts. What do these two have to do with each other?  Well, it’s pretty obvious, Italians are not buying new homes.  (I’ll be here all week). Besides that, both charts, in a way, are real time reflections of financial conditions.  I cite Gundlach in the XHB chart because he menitoned […]

Posted on October 14, 2018 at 11:56 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Oct 12. Pinning hopes on China?

–ESZ (Dec mini-S&P) tested the 2748 level four times yesterday before breaking through and making new lows, apparently due to a large sell program. However, there was a strong snap-back late in the day coinciding with news that Trump and Xi will meet at the G20 in November.  Yes, Kanye will be there too. That […]

Posted on October 12, 2018 at 5:29 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Oct 11, 2018. Going Loco

–Carnage continues this morning in equity markets.  ShComp -5.2%, Hang Seng -3.5%, Nikkei -3.9%, Kospi -4.4%, Dax down only 1.5% but new lows for the year.  When markets have large moves like yesterday, technical guideposts like moving averages and retracement levels become much more important because all the machines that trade one product against another […]

Posted on October 11, 2018 at 5:29 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

1010. Gold priced in yuan

Gold priced in yuan.  Fairly stable, but the downside bias makes it look as if China would be justified in letting CNY go through 7….

Posted on October 10, 2018 at 12:26 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Oct 10. China’s not the only one depreciating

–Light volume Tuesday.  Implied vol opened with a strong bid due to ongoing concerns with the Italian budget, but sellers quickly engaged.  For example, 3EZ 9675 straddle had settled 24 on Monday, opened 24.5 bid Tuesday and was sold there soon after the open, settling at 23.5.  The curve had a flatter bias in treasuries, […]

Posted on October 10, 2018 at 5:33 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Oct 9. Rotation? Or just a spiral down?

–In another sign of global fragility, Pakistan has asked the IMF for assistance, just as the latter institution downgraded its global growth assessment (following Lagarde’s warnings last week).  Italy’s budget truculence continues to spill into markets, where the 10 yr btp is now 3.68%, adding to further pressure on Italian banks. –Stocks took a tumble […]

Posted on October 9, 2018 at 5:26 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Oct 8. Columbus Day

–Despite a cut in reserve requirements over the weekend by the PBOC, Shanghai Comp is down 3.7%.  Concerns about Italy have taken the Italy Bank index down over 4% this morning.  Salvini helpfully called Juncker and Moscovi enemies of europe, sending the btp/bund spread to a new high of nearly 310 bps.  US stock futures are also […]

Posted on October 8, 2018 at 5:22 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Oct 7. Creative Destruction

“The urge to destroy is also a creative urge” – Picasso (as tweeted by  banksy) “We are prepared to destroy that which we have created because we believe more than any of them in the power of the picture, the poem, the prayer, or the person.” – Mishka Fyodorovich, in the novel A Gentleman in […]

Posted on October 7, 2018 at 12:43 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options