Archive for the ‘Eurodollar Options’ Category

Two out of three ain’t bad

January 21, 2022 –NFLX fell 1.5% to a new low yesterday on weaker than expected subscriber growth.  PTON continued its plunge, falling 24% to a new low, a complete roundtrip from the onset of Covid in March 2020.  It started around 20, exceeded 160 at the end of 2020, and is now back at 24.  […]

Posted on January 21, 2022 at 5:38 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Every quarter

January 20, 2022 –While financial commentators have wildly sketched out scenarios for 6 to 7 hikes this year, a buyer of 70k EDM2 9925/9937.5/9950 c flies is targeting the quarterly meetings.  EDM2 is currently 9921.5.  The call fly traded and settled 2.25.  Max profit of 10.25 occurs at middle strike 9937.5.  3m libor set yesterday […]

Posted on January 20, 2022 at 4:49 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

The bears are out

January 19, 2022 –Yields are on a rampage higher, with tens up nearly 10 bps to 1.866%.  Front EDH2/EDM2 spread jumped 4 to a new high of 35 bps, and H2/H3 one-yr spread to a new high 109. April FF at 9965 are projecting small odds of 50 at the March FOMC. (9967 fully prices one […]

Posted on January 19, 2022 at 5:17 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

MLK holiday/ abbreviated session

January 17, 2022 –Reds (2nd year) weakest on the euro$ strip Friday closing -9.625.  Two year treasury yield jumped 7 to 96.5 as the market focuses on the pace and magnitude of upcoming rate hikes.  Tens rose 6.2 to 1.77%.  A couple of large ED option trades show the bias: +30k EDJ 9900/9875 put spread for 1 […]

Posted on January 17, 2022 at 5:20 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

I’ll take the Under, Jamie

January 16, 2022- Weekly comment EDH’22/EDH’23 one-year eurodollar calendar spread settled at 105 bps on Friday, a new high for the cycle for any one-year spread.  FFF’22/FFF’23 one-year FF calendar spread settled 94.75 (also a new high, in September it was 20), so the market is settling in on the idea of four 25 bp […]

Posted on January 16, 2022 at 7:29 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Blame it on…

January 14, 2022 –Blame it on Brainard…and other Fed officials who are teeing up an initial hike in March (which the rates market had already priced).  SPX -1.4% and Nasdaq -2.5%.  April Fed Funds settled 9969 or 31 bps, as compared to the current Fed Effective rate of 8 bps.  So 23 of an expected […]

Posted on January 14, 2022 at 5:35 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Worst is over?

January 13, 2022 –CPI hit 7% yoy, with Core 5.5%.   There are hints in the financial press that the worst is over in terms of inflation.  In the Chicago area we’ve had a couple of days of sub-zero weather.  We’d like to think the worst is over…but it’s only mid-January.  It’s still going to be […]

Posted on January 13, 2022 at 5:26 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Unprecedented (but we knew that)

January 12, 2022 –CPI today expected at cycle high of 7% yoy as Powell yesterday acknowledged that high inflation can cause problems and vowed to do something about it.  Yields fell, the curve flattened.  Tens ended at 1.744%, a pullback testing last year’s March high.  Re-opening auction of 10s today, with 30s tomorrow.  Beige book […]

Posted on January 12, 2022 at 5:08 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

EDH2/EDH3 exceeds 100 bps

January 11, 2022 –Powell’s prepared remarks for today’s appearance in support of his re-nomination were released yesterday afternoon: The economy has rapidly gained strength despite the ongoing pandemic, giving rise to persistent supply and demand imbalances and bottlenecks, and thus to elevated inflation. We know that high inflation exacts a toll, particularly for those less […]

Posted on January 11, 2022 at 4:52 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Making Widgets

January 10, 2022 –Tim Cook pulled down $100 million dollars last year.  There’s a cute story on the NY Fed’s blog Liberty Economics on “The Effect of Monetary and Fiscal Policy on Equality.”  –From FT: ECB’s Isabel Schnabel says low-carbon economy ‘poses measurable upside risks’ to inflation projections over medium term. –In the last couple […]

Posted on January 10, 2022 at 5:02 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options