Archive for the ‘Eurodollar Options’ Category

Misallocation

April 14, 2019 – Weekly Misallocation of credit is the topic of a short note of friend Keith Weiner, founder and CEO of Monetary Metals.  A link to the note is at bottom, from which I have copied a graph, below. This chart shows that nearly 40% of Russell 2000 companies are not profitable even […]

Posted on April 14, 2019 at 12:21 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Coherent Arguments (and credit acceleration)

April 12, 2019 –It’s off to the races this morning with a new high in ESM above 2900.  WTI crude has likewise erased a large part of yesterday’s decline, now +87 at 64.45, but not quite at a new high.  Apparently better than expected China export data and strong credit growth is contributing to the […]

Posted on April 12, 2019 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

VOL IMPLOSION

April 11, 2019 Below is chart of 30y vol… 5 year lows.  0EU 9775 straddle settled 32 yesterday and is 30/30.5 now.  The central banks won.  “War’s over man.  Wormer dropped the big one.”

Posted on April 11, 2019 at 11:39 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Joyride

April 11, 2019 –Trading in rate futures remains lackluster, despite several pieces of news yesterday.  Draghi set the tone early, saying there will be no rate increases through the rest of 2019 (at least).  Euribor futures responded with a solid rally, with the green pack settling +5.0.  ERZ9/ERZ0 closed at 8 bps, just above the […]

Posted on April 11, 2019 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Policy making for disaster

April 10, 2019 –Ten year yield slipped back under 2.5%, down 2 bps to 2.497 with an auction today, followed by 30’s tomorrow.  Today’s news includes the ECB meeting, CPI and the Fed minutes.  CPI expected +0.4 with Core +0.2 and yoy Core 2.1%.  Stocks encountered profit taking yesterday.  AAPL finally had a down day […]

Posted on April 10, 2019 at 9:45 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Fed ease odds pared back

April 9, 2019 –Yields edged slightly higher on light volume Monday with tens +1.6 bps to 2.517%.  Reds were weakest on the dollar curve, closing -2.0 on the day.  Chances for a Fed cut this year have fallen, with FFF0 now 9775.5 (-1.5), indicating around 60% odds.  Aug/Oct FF spread, which isolates the September FOMC, […]

Posted on April 9, 2019 at 5:09 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

You know how it is

April 7, 2019 – Weekly Comment Dan Milner: Well, you see how it is: fools get away with the impossible. Lenore Brent: That’s because they’re the only ones who try it. That’s a bit of dialogue from the 1951 film noir, His Kind of Woman starring Robert Mitchum and Jane Russell.  The plot is summarized […]

Posted on April 7, 2019 at 2:22 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

About fair

April 5, 2019 –Employment day with payroll growth expected 180k, a bounce from last month’s paltry 20k gain.  Little net change in prices yesterday, though Art Main summarizes option activity as follows: “We continue to see participants roll upside out in time and up in strike in front contracts.”  For example, there was a buyer […]

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

Europe in reverse

April 4, 2019 –Yields rose yesterday with tens up 3.7 to 2.515% and 30-yr bonds marching back towards 3%, up 4.2 on the day to 2.927%.  However, US data yesterday was on the weak side with ADP at just 129k and Service ISM 56.1 vs an expected 58.  This morning German Factory orders for Feb […]

Posted on April 4, 2019 at 5:49 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

New life for bitcoin as EUR looks dodgy

April 2 2019 –Yields rose yesterday as economic data on balance was stronger than expected, starting with China’s Mfg PMI.  US Retail Sales were weak at 0.2 with Core -0.6.  However, ISM Mfg was better than expected at 55.3.  The narrative of a seasonally weak Q1 followed by a rebound seems to have taken hold […]

Posted on April 2, 2019 at 5:20 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options