July 10. Crude oil and copper sending different signals on economic strength

–Remarkably quiet in rates even as stocks soared.  The British pound was hit after the resignation of Boris Johnson from May’s cabinet, but it’s still holding above the low set in late June.  Oil was lower early in the session but came back to close positive.  CLU8 71.98 up 41 cents…highest high has been 72.85.  Premium sales were the main theme in rate options.
–Today includes NFIB small business optimism which was 107.8 last month, the highest since 1983 when it hit 108.0  Three year note also auctioned.  Wednesday and Thursday bring inflation data, PPI then CPI along with ten and thirty year bond auctions.  While China’s stock market continues to engage in a slight rebound, note that Copper (HGU8) had a strong symapthetic bounce with SHCOMP and CNY yesterday, but has nearly completely reversed the move this morning.
–Interesting article on ZeroHedge outlines runaway pension growth in Illinois.  “In 1987, pension promises made to active workers and retirees in the state’s five state-run pension plans totaled just $18 billion. By 2016, they had ballooned to $208 billion.  

That’s a cumulative 1,067 percent increase.
Contrast that to the state’s budget (general fund revenues) which was up just 236 percent over the same time period. Or household incomes, which were up just 127 percent. Or inflation, up just 111 percent.  Promised pension benefits have blown past the ability of the state, the economy or taxpayers to pay for them.”
According to a Chicago Tribune story in May 2018, “The funding shortfall across Illinois’s five retirement systems climbed to $137 billion by last June, a jump of about $17.8 billion since 2015, after the government for years failed to made adequate contributions.”
Chart below from ZeroHedge post


Posted on July 10, 2018 at 5:24 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

July 9. China supporting stocks

–China seems to be having a much larger impact on global markets.  Yuan slightly stronger and Chinese stocks rebound; here’s a clip from Reuters: “China’s bourses sailed higher after its securities regulator said on Sunday it planned to ease restrictions on foreign investment in the Shanghai and Shenzhen stock markets, and told banks to significantly cut lending rates to small businesses.”  This morning US stocks are higher, and the USD weaker, rate futures slightly lower.

–On Friday there was a seller of 100k TYU 121/122c spreads at 15/64.  This is a rolldown associated with the June 11 buy of 100k 120/122cs for 29 to 30.  Open interest fell 76k in 122 c and rose 89k in 121k, so the original position has been switched to long 120/121cs which settled 29.  Yields were lower across the board by a couple of bps after Friday’s solid employment report.  Ten year yield -1.1 to 283.9.   Red euro$ pack rose 2.5 bps.
–July euro$ midcurves expire Friday, and the Fed announced it will release its semi-annual monetary report on Friday in preparation for Powell’s congressional testimony the following week.
–A couple of late trades of note, buying of way out of the money long dated puts:  EDH21 (long dated green march) 9550p 3.0 paid for 10k; they had already settled 2.75.  Also EDM20 (long dated red june) 9587p 2.0 paid 5k, settled 1.75. and 5k EDZ20 9525p for 1.5 (1.25s).
Posted on July 9, 2018 at 5:59 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

July 8 Weekly. Running with the bond bulls

Despite the release of FOMC minutes and Friday’s employment data, net week-over-week changes were small.  The most notable market event was inversion of the Eurodollar curve, where the red pack (2nd year forward) to gold pack (5th year forward) settled  NEGATIVE 0.5 bp on Thursday (it bounced back to +0.75 Friday).  In treasuries, 2/10 and 5/30 also posted new lows for the cycle on that day.  On the week, the 30 yr bond yield fell 5 bps to 293.8.  On a technical basis, this level is a just below the 50% retracement from December’s low of 268.8 to May’s high of 324.7.  It is also below the closing yield set at the end of May, when bonds spiked higher due to European stress associated with fears that Italy might abandon the euro.  At that time, the Italian bank index was posting a new low, and the euro was testing 1.15, also a new low for the year.  Since then, there have been small rebounds, with the euro closing 1.1744, up from 1.1683 in the previous week. On Friday the Italian government indicated plans to raise the Deficit/GDP target to around 1.4% from the current goal of 0.8%, but that news was taken in stride as a modest backslide in the context of the broader concerns about the Euro.

Five and ten year yields are still well above end of May levels, so perhaps calling for a general rally led by bonds is premature.  However, it appears as if the long end is interpreting the trade war as more of a drag on economic growth than as an inflationary catalyst.

On Friday, Ray Dalio tweeted, “Today is the first day of the war with China.”  Also note that he has recently fretted about how the economy will react when US tax stimulus fizzles in 2020.  Indeed, on the Eurodollar futures curve, the most negative section is the 2020 contracts vs the 2021 contracts.  (EDH0 thru EDZ0 average 97.025, while EDH1 thru EDZ1 average 97.050, for a spread of -2.5 bps).  Obviously the markets have taken Dalio’s concerns to heart.  I would also note that back month Eurodollar vol remains very well bid given global uncertainties.  For example EDH21 9700 straddle was 92.0 bps at the end of February with the contract settling 9702.5 on 27-Feb.  In mid-April the contract was 9699.0 and the straddle was 87.5, and just prior to the end of May it was as low as 83.0.  On Friday this straddle settled 88.75.  Either these are great sales, or the market is hinting of trouble ahead.  Interestingly there was a late buyer of 10k EDH21 9550p for 3.0 on Friday after it had already settled 2.75.

Of course, it is not only Dalio that thinks trade wars could be more negative than generally thought.  Here’s a quote from BBG on June 29:

European Central Bank President Mario Draghi warned European Union leaders that an escalating trade war between the U.S. and the world’s biggest economies may have a larger impact than policy makers and investors currently expect. …Rising tensions could erode confidence to an extent that is difficult to gauge, Draghi told the 27 heads of government from the bloc at a summit in Brussels on Friday. The complexity of intertwined global supply chains could magnify the impact on the world economy, he said, according to a person familiar with the discussion, who asked not to be named as the debate wasn’t public.

On Monday Draghi addresses the European Parliament in Brussels, and the sentiments above are likely to be expounded upon as tariffs have now been instituted.  As Lacy Hunt mentioned on a CNBC interview recently, the synchronized global growth story is now more likely to turn into a synchronized global slowdown.

Below are just a couple of charts below relating to the Euro.  The top chart plots the one year Eurodollar calendar spread EDZ8/EDZ9 vs the same in Euribor (ERZ8/ERZ9).  The euribor spread (in white) has been trending lower since February, while the Eurodollar spread (blue) has held a sideways pattern.   The second chart shows the same ERZ8/ERZ9 spread as a line chart in white, with the EURO overlaid in green.  Obviously a pretty strong correlation between these two.  This week’s euro rally is either just a relief reaction, or it may be an indication that Eurodollar spreads are going to see a bit more flattening in the nearer part of the curve as a reflection of negative consequences of trade wars.

While Draghi speaks at the start of the week, the Fed will release the Monetary Policy Report prepared for Powell’s semi-annual Congressional testimony on Friday, July 13.  Powell’s actual testimony will occur the following week on the 17th.  Nothing indicates that Powell’s Fed is deviating from a course of gradual rate hikes.  If end of the week comments DO indicate a change, then a rush to exit from flatteners will ensue.

This week also includes treasury auctions which will be interesting as the threat of Chinese sales of treasuries hangs over the market as retaliation for tariffs.




On Friday there was a sale of ~100k TYU 121/122cs at 15/64s.  On June 11, TYU 120/122cs bought for 29 to 30 in 100k.  Open interest shows a drop of 76k in 122c and rise of 89k in 121c, so the original position has now been switched to long 120/121cs. Settles: 120c 52, 121c 23 and 122c 10.  Interestingly, all treasury futures showed open interest increases on Friday’s modest rally, +16.6k TU, +21k FV, +30.5k TY and +5.8k in US.  Portends strong demand at auctions.




6/29/2018 7/6/2018 chg
UST 2Y 252.8 254.1 1.3
UST 5Y 273.3 272.1 -1.2
UST 10Y 285.3 282.9 -2.4
UST 30Y 298.8 293.8 -5.0
GERM 2Y -66.5 -65.8 0.7
GERM 10Y 30.2 29.2 -1.0
JPN 30Y 70.6 67.9 -2.7
EURO$ Z8/Z9 32.5 32.0 -0.5
EURO$ Z9/Z0 1.5 1.0 -0.5
EUR 116.83 117.44 0.61
CRUDE (1st cont) 74.15 73.80 -0.35
SPX 2718.37 2759.82 41.45
VIX 16.09 13.37 -2.72



Posted on July 9, 2018 at 5:57 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

July 6. Employment data

–Trade war with China becomes a reality as tariffs begin.  Employment data today with NFP expected 195k, average hourly earnings +0.3 and +2.8% yoy.  New curve lows yesterday, for example 2/10 closed at 28 bps, down just over 3 bps and lowest since 2007.  Even more stark was the inversion in red/gold eurodollar pack spread, which settled -0.5 bps, -1.375 on the day.  This is the first inverted close since March of 2000.
–While stocks rose yesterday, there are many pockets of weakness.  For example, copper continues to plunge; for a broader perspective look at DBB, the base metals etf.  XLF, the financials etf is also under pressure, beset in part by the curve’s flatness (chart below).  Dow transport index is flipping around the 200 day moving average, perhaps negatively affected by soaring energy costs.  Soybeans crushed by trade war concerns.
–Although the usual pre-employment put 1×2’s were bought on the first red yesterday (+9700/9687.5p 1×2 for 1.0), there were some long delta buys further out the curve.  For example EDU9 9725/9775c 1×2, 4 paid 30k, settled 3.5 ref 9706.0.  In treasuries, USQ 147/148c spread 12 paid for around 15k, settled 11 ref 145-16.
–FOMC minutes released in the afternoon contributed to the flattening theme, with gradual tightening still on course.  No members saw downside risks for inflation.  “…a number of participants noted it amy soon be appropriate to also modify the language that policy ‘remains accommodative’ “.

Posted on July 9, 2018 at 5:45 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

July 3. Scarcer reserves and t-bill supply

“Gradually reducing the Federal Reserve’s securities holdings will result in a declining supply of reserve balances.”  From the Fed’s June 2017 addendum regarding Policy Normalization.

–Interesting article in WSJ on 1-July: ‘Fed faces decisions on shrinking is huge bond portfolio’ notes that reserves are becoming more scarce.  From the article,”…developments in short-term money markets of late raise the question of ‘how long we actually want our balance sheet [wind-down] to go,’ Boston Fed President Eric Rosengren said in an interview last week. It is possible the portfolio will not have to shrink “dramatically more” from its size of $4.3 trillion in June…”

–At least some members of the Fed are concerned about how to deal with the next downturn, and discussions about ending ‘normalization’ of the portfolio likely include this issue.  Note that QT in the just started Q3 is now in the amount of $40 billion per month, $24b in treasuries and $16 in MBS.  Another interesting policy article is on BBG: Forget the yield curve, the debt market action is in Fed funds.


“As the second half of the year gets underway, T-bill supply is poised to expand by another $290 billion, according to JPMorgan Chase & Co. estimates. Deutsche Bank AG expects an additional $185 billion of net bill sales, most of it arriving in the fourth quarter. ”

–It appears as if volatility may begin to increase in rate markets.  Yesterday, the curve flattened with 2/10 down to a new low of 31.7 bps, and 5/30 to new low 24.   Green to blue euro$ pack spread closed NEGATIVE 1.375.  New buyer of 25k 0EH 9687/9675/9662p strip covered; settled 37.0 vs 96.99.

–This morning the yuan hit a new low, but soothing words from the PBOC reversed the decline.  Crude oil at a new high this morning with CLQ +78 to 74.72.  Stocks higher.  Happy 4th!

Posted on July 3, 2018 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

July 2. China shockwaves

–New lows in both CNY at 6.6611 and in the Shanghai Composite, -2.5%, appear to be spilling over into US markets with ESU  currently -13.50.  Bernie Sanders won the election in Mexico, except his name is Andrés Manuel López Obrador, known as AMLO.  Mexico first….another reason for tensions to increase on trade and other issues?  And good luck this morning to Mexico v Brazil.

–Modest rally this morning in US rate futures.  On Friday morning before the Core y-o-y PCE printed at the Fed’s target of 2%, the atm 120.25 straddle for the day was printing 9/64’s.  Even this morning, TYU is just 120-12, not quite through what would have been breakeven.

–Both euro and gold lower this morning.  There was an interesting post on ZH over the weekend citing BAML on the ‘cheapest hedges for a stock market crash’, and the top rated was gold calls.  Even with a stronger dollar gold appears to be in an area of support so it’s worth thinking about…


–Shortened holiday week could lead to illiquidity at times.

Posted on July 2, 2018 at 5:23 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

July 1. Investment Grade? – Weekly Comment

In the aftermath of the GFC, the rating agencies came under fire for having given investment grade ratings to dubious securities, primarily in the mortgage market.  Should we now be concerned about corporate debt ratings?  The market says “Yes”.

Chart below shows rise of BBB spread since the start of the year. Spike in 2016 related to energy.

What several analysts now point to is the large and increasing percentage of BBB/BBB- in the investment grade universe.  This is becoming a hot topic, as evidenced by the following snippets: From Almost Daily Grants June 26, “According to data from FactSet, investment-grade debt has been the worst performing major asset class year-to-date through June 21 with a 3.6% loss, trailing Treasurys (down by 1.4%), high-yield (green by 0.7%), stocks and commodities (both higher by more than 3%).”

Here’s a clip from Business Insider in April 2018: “The ballooning of BBB-rated debt as a share of the overall investment-grade bond market comes as U.S. corporations heap debt onto their already leveraged balance sheets. The outstanding value of BBB-rated debt is around 42.2% of the entire investment grade market, comparing with 26.1% in 2007.”

From the MacroTourist last week: “The past five months have been brutal to investment-grade credit investors. IG OAS has risen from 95 bps in late January, to 140 bps today. This is a big move for investment-grade bonds. It is an especially big move considering the fact that most other risk assets are not following suit.”  He further notes that the ratio of Hi Yield to IG is the lowest it has been since 2009 (the yield spreads are converging).

From the FT June 29: “Investment-grade US corporate bonds recorded a second negative quarter in the three months to the end of June, marking the first back-to-back losses since the financial crisis, as the Federal Reserve raised interest rates and foreign buyers of corporate bonds retreated in the first half of this year.”

There was also a note from BofA citing some of the same concerns regarding European debt.  From ZH (attributed to BofA): “Since the beginning of 2015 (PSPP started in March ’15) the size of the BBB-rated non-financial sector has grown from €450bn to €755bn (66%). Conversely, the size of the Euro high-yield market has shrunk from €310bn to €285bn over this period.”  The ECB can buy investment grade debt, so high-yield issuers have a big incentive to squeeze onto the next rung higher on the quality ladder.  But what happens in a recession with downgrades?

Regarding size of the markets, in 2008, when MBS was the problem, the amount of US mortgages outstanding was $10.61T, total Business debt was $10.66T and Corporate was $6.57T.  As of Q1 2018, Mortgage debt outstanding is actually lower at $10.14T, total Business is $14.43T and Corporate is $9.06T.  Of course, the elephant is Fed’l debt, from $7.38 to $17.08.

The broad concern is that there is a lot of debt teetering just above junk status, and perhaps rating agencies are not being as stringent as they should.  With 2 consecutive quarters of negative returns in IG, and an increasing spread, the market is giving a pretty clear warning that probably shouldn’t be ignored.

Of course, another fragile spot is emerging markets.  From BBG on June 29: “Asian high yield dollar bonds are set to post the biggest quarterly loss since 2013, with Chinese companies leading declines, as a heavy pipeline of new bond deals and rising defaults dented market confidence. Asian junk bonds are set to post negative returns of about 3.3% in 2Q after a loss of 1.1% in 1Q, making it the worst quarter since 2Q 2013…”

For a great summary of the quarter see this blog from Doug Noland

When looking back at emerging market strife in the late 1990’s, most charts don’t really reflect the same sort of disruption now as then.  In late 1997 the Malaysian ringgit and Indonesian rupiah and India rupee crashed.  In 1998 it was the Russian ruble (and related collapse of Long Term Capital Mgmt).  In early 1999 the Brazilian Real plunged.  In the current episode Argentina and Turkey have been standouts, and of course, several other countries have had to raise rates to stem capital outflows.  On Friday Indonesia raised 7-day reverse repo 50 bps to 5.25.  June 21, Bank of Mexico raised overnight rate to 7.75%.  June 6, RBI raised repo rate from 6.0 to 6.25%.  Rising rates and vulnerable currencies are headwinds to global growth.

Many recall when the summer month trading lull of 2015 was jolted by China’s devaluation in August.  However, as the chart below shows, this month’s decline in the yuan from 6.40 to 6.62 is around the same magnitude.  Powell’s Fed is turning a deaf ear to growing imbalances, hesitant to ride to the rescue whenever market forces threaten financial asset prices.  It’s a fine line.

Although several Fed Presidents like Bullard and Bostic have cautioned about hiking too quickly, Powell is more focused on the performance of the domestic economy. Williams has been silent. Quarles gave a speech last week about international financial linkages, but it was largely a vote of confidence in the FSB or Financial Stability Board.  There has been discussion about the flatness of the curve, but for now the signal is being ignored.  Core PCE prices finally hit the Fed’s target of 2% last week.   Q2 growth was likely in the high 3% range.  This Friday’s Employment report will show continued improvement in labor conditions with NFP expected 200k and Avg Hourly Earnings +0.3 mom and +2.8% yoy.

For curve traders, it really comes down to how close the Fed is to ending its hiking campaign.  Most measures of the curve are at their flattest levels of the cycle.  I have included below a chart of the red to green Eurodollar pack spread (2nd to 3rd year forward) which closed just barely positive on Friday at 1.125 bps.  On a long term basis, this area appears to be a buy.  But steepening really occurs when the Fed is DONE.  At the end of 1994 it was the 75 bp hike in November to 5.5% that turned the tide (though there was another hike in Feb 1995).  In 2000 it was the 50 bp hike in May to 6.5% that capped the move.  In 2006 the cycle of 25 bp hikes at every meeting culminated in June, topping at 5.25%.  This month’s hike put the Fed Fund target at 1.75 to 2.00, well below previous tops.  While the market is indicating that the Fed is tight, it’s just not clear that the Fed itself is accepting that message.  The result is that there are a lot of conditional steepeners that have been entered on the dollar curve, that is, buying near calls and selling deferred, usually with a long delta bias.  My personal view is that the Fed will maintain its hawkish bias at least through a September hike.  As of Friday, the August/October FF spread, which isolates the Sept 26 FOMC, is 18, or around 3 in 4 odds of a hike.  EDU8 settled 9754.5, or 13 bps higher in rate that the EDM18 expiration.  Because rates are much lower in this episode, I think greens are likely to be the pivotal part of the curve.  June’s FOMC minutes will be released on Thursday, and may provide enhanced clues about the Fed’s outlook.


MON: ISM Mfg 58.3 from 58.7.  Prices paid last was 79.5, expected 74.7 which was highest since 2011.

TUES: Factory Orders 0.0

THUR: ISM Service 58.2 and FOMC minutes***

FRI: NFP 198k from 223k; Rate 3.8%;  AHE 0.3% and yoy 2.8%






6/22/2018 6/29/2018 chg
UST 2Y 254.5 252.8 -1.7
UST 5Y 277.2 273.3 -3.9
UST 10Y 289.9 285.3 -4.6
UST 30Y 304.1 298.8 -5.3
GERM 2Y -66.5 -66.5 0.0
GERM 10Y 33.7 30.2 -3.5
JPN 30Y 70.7 70.6 -0.1
EURO$ Z8/Z9 35.0 32.5 -2.5
EURO$ Z9/Z0 1.5 1.5 0.0
EUR 116.56 116.83 0.27
CRUDE (1st cont) 68.58 74.15 5.57
SPX 2754.88 2718.37 -36.51
VIX 13.77 16.09 2.32



Posted on July 1, 2018 at 11:43 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

May 21. First half is over….

–Second quarter draws to a close with a sigh of relief as stocks staged a modest bounce and the euro rose, after again holding 115 (3rd time in a month) as the EU summit cobbled together an agreement on migration.

–Everyone passed the Fed’s stress test and can dole out money to shareholders who can use it to bet on the next Blue Apron. Not so fast Deutsche Bank US, you’re being held back and have to re-take the remedial math class, or, as we used to call it ‘Jolly Numbers’

–Today brings Personal Income and Spending, both expected +0.4. Core prices expected +0.2 mom and +1.9 yoy. Late yesterday, today’s (week 5) TY 120.25 straddle traded 14/64’s ref 120-08; not expecting any early fireworks. Yields edged higher yesterday with tens up 2 bps to 284.6.

–Reports surfaced that General Kelly may exit the Chief of Staff role this summer. A sign of more unpredictability in policy? It seems as if other nations are always being forced to respond to blind-side proclamations from Trump. A natural counter strategy would be to get out in front and provoke the US first. Global politics have the potential to become more disorderly.

–WTI slightly higher this morning. Aug/Sept calendar spread settled $1.64, a difference of 2.2% for a one-month calendar. There have to be some pretty large losses associated with this move…

Posted on June 29, 2018 at 5:22 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

June 28. Further USD strength vs EM in the offing?

–Yields fell as stocks declined and oil surged to a new high. Ten year fell just over 5 bps to 2.826. In dollars, reds were +4.5 bps, greens thru golds were +5.5. The curve is completely flat from EDZ19 back to EDU22, with all settles between 9707.5 and 9705.5. Red/green pack spread edged to a new low of just 0.5 bp. Large trade: continued accumulation of EDH9 9700/9687/9675p fly for 1.75 in size of 50k (total ~175k). Also a large block sale 30k 2EU 9687p at 5.5 covered 9707. Prelim open interest sheets inexplicably show this as a new position with OI +32k.

–While US equity futures are trying to stabilize, SHCOMP made another new low and the yuan also at a new low 6.628. It’s not simply back and forth trade rhetoric that has afflicted China’s markets, but perhaps the hangover of dealing with malinvestment. Mexico election Sunday widely expected to result in AMLO win (Lopez Obrador), but possible reversal of economic reforms ahead. MXN stable for now having been in a consistent sell off for two months (mid-April to June). The WSJ notes that India’s rupee is also at a fresh low against the dollar.

–Vols slightly firmer in rates. New low in 2/10 (with new 2 year) of 32.6 bps. Position squaring in front of quarter end and the holiday week upcoming….

Posted on June 28, 2018 at 5:21 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

June 27. Submerging markets

–Stocks lower this morning, with notable weakness in China and a new low in the yuan to 6.6049.  Oil continues to surge with CLQ +60 to 71.13.  The August/Sept crude oil spread has exploded, closing at 1.28 and printing 1.40 currently (this was around 0.30 at the start of the month), as the administration shuts Iran out of global markets.  US stocks also weaker, with several sources noting weakness in US financial stocks (XLF down 12 days straight at a new low for the year).  The Fed may not think the flatter curve portends trouble in the economy, but those that depend on a bit of steepness to lubricate the monetary gears are indicating concern.  Interesting side note from Grant’s daily: “According to data from FactSet, investment grade debt has been the worst performing major asset class year-to-date through June 21 with a 3.6% loss, trailing treasurys (-1.4%), high-yield (+0.7%) stocks and commodities (both higher by more than 3%).
–Speaking of questionable performance, EEM (emerging mkt etf) closed at a new low, down 17% from January’s high, completing a round turn starting last August.  It closed 43.16, near the 38% Fibo retrace from the 2016 low associated with the energy rout, to the high of this year in January (27.61 to 52.08).  I only mention this due to the unending chorus of advisors who had suggested EM as an asset class that was likely to outperform.
–Large trades yesterday include +60k EDU8 9750p 2.5 to 2.75 (new, settled 2.5 ref 9754.5), and a buyer of 40k EDH9 9700/9687/9675p fly for 1.75, which is perhaps a play to pin the Fed at expiry.  Fixed income slightly higher and flatter this morning, though TYU still about 3/4 of a point away from the high posted at the end of May (121-03) associated with the Italian election.  Durables this morning expected -1.0 with Core Capital Goods +0.5%.  Five year auction.
Posted on June 27, 2018 at 5:28 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options