Archive for the ‘Eurodollar Options’ Category

Potential for a bearish breakout

September 17, 2021 –Stronger than expected Retail Sales sent yields higher.  Got the magnitude right, but the sign wrong, +0.7% vs -0.7% expected. Tens rose 3 bps to 1.331%.  The curve steepened slightly in dollars, although 5/30 edged to a new low just below 105 bps.  In euro$’s the first five years of the strip […]

Posted on September 17, 2021 at 4:12 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Anchors Aweigh

September 16, 2021 –Inflation stories in the news are unceasing now.  Here’s an interesting clip from CNBC about online sales; “Last month, Adobe found online prices grew 3.1% yoy and climbed 0.1% from the prior month.  From 2015 to 2019, online prices on average fell 3.9% annually.”  A huge change in trend from negative to […]

Posted on September 16, 2021 at 5:11 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

So crazy it might just work

September 14, 2021 –CPI today expected 4.2% yoy with Core 5.3%.  Yesterday featured small declines in rates, with tens down 1.7 bps to 1.322%.  Trade of the day was a buyer of 40k 2EH 9950c with 50k 3EH 9950c at a package price of 11 to 13.5.  Settlements were 1.75 in 2EH vs 9889 in […]

Posted on September 14, 2021 at 5:45 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

CPI on Tuesday

Sept 13, 2021 –Stocks rebounding slightly this morning after having closed on the week’s low Friday, off about 75 bps on the day.  Fixed income also closed lower with the curve steepening; red/gold pack spread rose 4.5 to 106.625. (This is new pack spread as EDU1 expires today and December contracts become the lead contract […]

Posted on September 13, 2021 at 5:44 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Keeping it Real

Sept 12, 2021 – Weekly Comment “When you corrupt the most important pricing mechanism of money, the most important asset in a commercial economy, then by definition you mis-allocate every other investment based on price.”–from friend RH Bailin  I think this line succinctly captures the big YOU ARE HERE arrow on the economic map. In this thread […]

Posted on September 12, 2021 at 9:29 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Flows

Sept 10, 2021 This is a good thread from Keith Weiner of Monetary Metals:https://twitter.com/Monetary_Metals/status/1435630252500393985 But here’s the best clip:But higher [asset] prices do not compensate for zero yield. Think of it this way… Falling yields are cyanide, the literal poison that Central Banks have introduced in markets. Rising prices are cherry flavoring. Cherry flavoring don’t […]

Posted on September 10, 2021 at 5:44 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

But I have a reservation…

September 8, 2021 –Curve continues to grind steeper in the face of both corporate and treasury supply.  Today treasury auctions $38b in tens, with yesterday’s yield climbing 4.7 bps to 1.368%.  2/10 spread rose 3.3 to 114.8, a new recent high.  In eurodollars, reds (2nd yr) -2.5, greens -4.75, blues -5.375 and golds fell 5.5.  […]

Posted on September 8, 2021 at 5:31 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Grande to pequeño

September 7, 2021 –Friday’s lower than expected NFP of 235k caused a brief knee-jerk rally which faded, counterbalanced by yoy wage growth of 4.3%.  Tens closed +3.7 bps at 1.32%.  The red eurodollar pack closed +0.875 with all following contracts down on the day, leading to a recent new high in red/gold pack spread of […]

Posted on September 7, 2021 at 5:35 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Spoofing the world

September 5, 2021 From the Financial Times, citing Bank of Russia’s monetary report from Thursday. Russia’s central bank says a new financial crisis on the scale of the 2008 collapse could happen in less than 18 months if global inflation is not kept in check. A surge in public and private sector debt levels during […]

Posted on September 5, 2021 at 10:45 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Payroll day

Sept 3, 2021 –NFP expected 750k with limited price changes in rate futures yesterday.  Eurodollar strip flat to +1.  Tens fell 1.6 to 1.284%.  Premium selling in front of payrolls and the long weekend, with both 131p and 135.5c showing open interest gains of 15k on a strangle sale; puts settle 19 and calls at […]

Posted on September 3, 2021 at 5:02 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options