Archive for the ‘Eurodollar Options’ Category

Feb 15. Taking downside risks ‘on board’

–Treasury yields fell Thursday, initially spurred by weak retail sales, which fell 1.2% on headline (broad-based weakness and worst since 2009).  Fed Governor Lael Brainard mentioned the miss in retail in the context of increased downside risks, and noted weaker foreign growth and political uncertainty as well.  She further said that she favored ending balance […]

Posted on February 15, 2019 at 5:17 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 14. Baltic Freight and Bond Vol….crushed

–Trade activity remains rather quiet.  Yields pushed higher and the curve flattened yesterday.  The ten year was up 2.4 bps to 2.706% while the 30-yr bond only rose 1.1 to 3.033.  Not much change in one year spreads, though in the very front end of the curve, both June/Sept and Sept/Dec ED spreads notched new […]

Posted on February 14, 2019 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 12. Something about Q3

–Friday’s lower yields disappeared on Monday, with tens backing up 2.9 bps to 2.659%.  However, out-of-the-money eurodollar call spreads continued to be accumulated.  Another 30k EDN 9762/9787 call spread bought for 1.75 (settled 1.5 vs EDU9 9736.5) and EDU9 9775/9787cs bought for 1 in size of 46k.  There was also a roll out of long […]

Posted on February 12, 2019 at 4:55 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 10, 2019. Interest rate lethargy

What is the market telling us?  First I would point to the short term interest rate calendar spreads.  On the Eurodollar curve, the lowest one-year calendar is Sept’19/Sept’20 which closed at a new monthly low of -20.  In the beginning of January, just prior to Powell’s dovish shift on Jan 4, the lowest one-year spread […]

Posted on February 10, 2019 at 2:06 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 8. Libor Un-rigged

–The big feature Thursday was a whopping 4 bp drop in the 3-mo libor setting to 2.6970.  Trade activity was fairly light, although there was good buying in EDM9 9737/9750 call 1×2 for 0.75.  The declining libor rate along with an idle Fed is putting the 9737 strike in play.   Tens fell 4.8 bps to […]

Posted on February 8, 2019 at 5:05 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 7. Neutral CBs stifle markets

–Once again it was a light volume day with little change in rates.  Tens fell less than 1 bp to 2.700%; thirty year auction today.  Near eurodollar contracts were modestly lower with EDM9 and EDU9 down 1 on the day, while EDM0 back rose 1 to 1.5.  Net result was weaker one-yr calendars, with EDZ9/EDZ0 […]

Posted on February 7, 2019 at 5:04 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Code Name: Jägermeister

The Russian Navy developed a “new” weapon that makes people vomit and hallucinate. https://thehill.com/policy/defense/428346-russian-navy-has-new-weapon-that-makes-target-hallucinate-and-vomit-report

Posted on February 5, 2019 at 5:21 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 5. Sr Loan Officers reflect tighter conditions

–Quiet session on Monday.  Yields pressed higher, with tens up 3.6 bps to 2.722%.  EDZ9/EDZ0 is again the lowest one-year calendar on the eurodollar strip, settling at -15.0.  Jan 2020 FF settled -2.0 at 9761.0; every contract in this calendar year of 2019 is within one basis point of the current 2.40% Fed Effective.   -Treasuries […]

Posted on February 5, 2019 at 4:58 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Feb 3. BLUE SKY

It was a heck of a January, punctuated by the FOMC meeting of January 30, where the Fed confirmed that hikes in the FF target are over for now.  Not, as I pointed out last week, that there weren’t plenty of hints from Fed officials beforehand.  The guy who got it EXACTLY right, though often […]

Posted on February 3, 2019 at 8:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Short end might be frozen…but maybe NOT the long end

–A WSJ headline analyzes: ‘The Fed’s Mysterious Pause’.  There’s nothing particularly surprising about it.  Housing is weak, europe has softened, and yes, the US stocks market took a dive in December.   The Fed doesn’t WANT equity values to have an out-sized influence on spending and investing, but that’s how it has been working.  Yields dropped […]

Posted on January 31, 2019 at 5:18 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options