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August 17, 2018. Philly Fed omen?

–Philly Fed index was a pretty big miss at 11.9 versus expected 22, especially when benefits from tax legislation are supposed to be coursing through the economy.  Could be an outlier, but this decline appears similar to 2015, which encompassed the last energy and emerging market rout.  Recall that hi-yield was crushed at that time, […]

Posted on August 17, 2018 at 5:12 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

August 16. Asia lower, but bouncing elsewhere

–Yields pushed lower yesterday on a ‘risk-off’ theme sparked by emerging market concerns (but we’re seeing ‘turnaround Thursday’ so far this morning).  US tens fell 4 bps to 2.85%.  While Turkey’s currency bounced, the broader issue of EM USD-denominated loans is leading to stress.  Is it tariifs, or is it the gradual withdrawal of dollar […]

Posted on August 16, 2018 at 5:25 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

August 15. It’s not just the Turkish lira

–Yields edged slightly higher Tuesday with tens +1.6 bps to 289.1.  Several large option trades (noted below). Back month euro$ spreads (reds to more deferred) compressed further.  For example, EDU9/EDU0 was sold at 3.0 and settled 2.5, right at its previous low.  It’s worth noting as well that back month euribor calendars also fell  Red/grn […]

Posted on August 15, 2018 at 5:11 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Aug 14. Safe haven swissy

Chart shows SPX in blue, DAX in yellow and EURCHF white.  Fairly close track between DAX and EURCHF; SPX on its own currently…. EURCHF weakness a sign of stress?

Posted on August 14, 2018 at 1:02 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

August 14. A roar or a whisper

–A couple of headlines this morning: Reuters: Shares regain footing as lira roars out of rout WSJ: Global stocks rise as lira stages small rally I’ll go with option number two, a tentative suspension of lira selling took immediate pressure off. But it’s also worth noting that the Argentine peso made a new low yesterday […]

Posted on August 14, 2018 at 5:27 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

August 13. Get ready for containment strategies

–Turkish lira made a new low but US market taking it in stride.  TRY fell to 7 but rebounded slightly; last around 6.9.  China yuan also at  a new low, 6.88.  Well at least those two are at parity.  South African Rand plunged 10%.  Time to get out some duct tape and Krazy glue and […]

Posted on August 13, 2018 at 5:11 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

August 12. The North Anatolian Fault

The old Chicago Mercantile Exchange trading floor between Monroe and Madison Streets on the east bank of the Chicago river is somewhat of an architectural marvel.  The three storey, 36000 square foot (3345 square meter) space was designed to be devoid of structural pillars that would impede eyesight across the pits, and so it was […]

Posted on August 12, 2018 at 11:14 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Aug 10. Freefallin’

–The Turkish Lira is in freefall this morning (TRY 6.26 high), and yuan is also weaker at 6.85.  USD stronger across the board with DXY breaking out to new highs for the year.  US equities had a weak close and are currently under pressure with ESU -15 at 2838.75.  It looks to be a “risk-off” […]

Posted on August 10, 2018 at 5:26 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Aug 9. The Cadillac of minivans

–New low in Russian ruble due to freshly imposed US sanctions, and the Turkish lira also continues to plunge to new lows. Strongmen of Venezuela and Turkey borrowing pages from the same playbook with plunging fx and action-movie coup attempts.  Rate trading remains lethargic in the US, with yields steady to lower yesterday.  Crude oil […]

Posted on August 10, 2018 at 5:22 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Aug 8. Herd mentality

–Rates trading continues to underwhelm, with tens rebounding 3.9 bps to 2.973.  Ten year auction today, followed by 30’s tomorrow.  Near eurodollar calendar spreads remain well bid. with EDU8/EDU9 closing at its high of 60 bps.  EDU8/EDZ8 edged to a new high settle of 25.5.  Decent amount of trade in December midcurves, for example, 20k […]

Posted on August 8, 2018 at 5:29 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options