Archive for the ‘Eurodollar Options’ Category

Jan 30. Lack of FOMC urgency

–FOMC announcement today.  Since the time Powell indicated patience and flexibility, the dollar index is about unchanged.   Oil and broader commodity indices have rallied this month but remain below levels from early December.  The ten year note to inflation indexed tip is around  177 bps now, vs close to 200 bps at the beginning of […]

Posted on January 30, 2019 at 4:58 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Interest rate markets are frozen

–Yields were unchanged to slightly lower after 2 and 5 year auctions yesterday.  The largest trade of the day was a sale of 100k 3EU 9800c at 5.5 to 5.0 vs EDU2 9736-38.  The CME’s open interest sheets indicate that OI was UP 4k contracts which is quite odd since there had clearly been a […]

Posted on January 29, 2019 at 5:06 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

The Sellsword

At the December 19 FOMC, Powell said: “I think that the runoff of the balance sheet has been smooth and has served its purpose.  I don’t see us changing that.”  He added, “We’re alert to these issues, watching them carefully.  We don’t see the balance sheet runoffs as creating significant problems.” On the following Friday, […]

Posted on January 27, 2019 at 1:01 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Chill

–Yields fell and curves flattened as Wilbur Ross threw cold water on a trade deal, the gov’t shutdown continues, and Draghi noted a shift in risks to the downside.  Tens fell 4.3 bps to 2.71% with 2’s down 2.7 bps to 2.56% (2/10 at 15.0).  Blues were strongest on the euro$ curve, closing up 5.75.  […]

Posted on January 25, 2019 at 5:12 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jan 23. Kudlow rides to the rescue

–Last week’s stock market euphoria and related weakness in treasuries reversed Tuesday, with stocks lower and rate futures higher.  The ten year yield fell 5 bps to 2.732% while the red euro$ pack was +7.125 (strongest part of the curve).  The one-year calendar EDH9/EDH0 plunged 6 bps from +2.5 on Friday to -3.5 yesterday.  Existing […]

Posted on January 23, 2019 at 5:16 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Stability based on confidence

Jan 20, 2019 Markets continued to rebound in the month of January, primarily in response to words of encouragement from the Fed.  Stocks powered to new highs for the year, as did crude oil, as did copper as did treasury yields.  However, against the backdrop of strong labor conditions underpinning the domestic economy, renewed ‘risk-on’ […]

Posted on January 20, 2019 at 1:42 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jan 18, 2019. Finding middle ground

–This morning EDH9/EDH0 calendar spread is very nearly back to positive, having been as low as -27 at the start of January.  Both contracts are now around 9731. In the past couple of months this spread has gone from PLUS to MINUS 1/4% and is now gravitating to the center.  The market is back to […]

Posted on January 18, 2019 at 5:16 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

The rebound of 2019 – stalled

-Late news that Federal prosecutors are opening a criminal probe into Huawei snuffed a stock market rally.   It also appears that rebounds in copper and oil have stalled, as the market weighs central bank nods to increased liquidity vs a global slowdown that shows no signs of abating.  An article on ZH citing Morgan Stanley […]

Posted on January 17, 2019 at 5:13 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Jan 16, 2019. A Simple Lapse

–If you told me early Tuesday morning prior to the open that there would be over 200k atm treasury call spreads sold and that stocks would push to new highs for January, I would not have guessed that five, ten and bond futures would close unchanged on the day.  But that, of course, is exactly […]

Posted on January 16, 2019 at 5:10 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Gov’t shutdown closes euro$ futures

–Quiet Monday featured slightly higher yields.  Greens (3rd year) were the weakest part of the euro$ curve, settling -2, while the ten year rose 1 bp to 270.6.  5/30 remains firm at 53.4 bps, up 2.3 on the day, poised to make new highs.  While yields edged higher, option activity mostly favored the upside with […]

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