Archive for the ‘Eurodollar Options’ Category

China pulls down everything

August 15, 2022 –CLU2 once again near recent lows at 88.20 this morning, down 3.89 as China’s weakening economic data caused a sharp and broad-based commodity slump.  Just over one month ago, CLU2 was over 115.  Sept Copper is 3.56, representing a sharp pullback from the rally over the past month.  Continued real estate end […]

Posted on August 15, 2022 at 5:39 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

The Climb

August 14, 2022 – Weekly Comment I was walking east down Monroe Street, coffee in hand, to enter the Chicago Mercantile Exchange from the south entrance.  It was a hazy and slightly humid August morning, the time of year when you notice it’s not quite as bright as it was a couple of weeks ago, […]

Posted on August 14, 2022 at 2:00 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Let the long end do the tightening work

August 12, 2022 –Bloomberg reports that Mary Daly favors a 50 bp hike in September.  I might be incorrect, but I think she directly channels Powell’s sentiments.   –Large steepening trade over the past two sessions, even as inflation data were lower than expected.  Yesterday PPI was 9.8% yoy vs 10.4 expected, with Core 7.6 vs […]

Posted on August 12, 2022 at 5:47 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Defining near-term parameters

August 11, 2022 –Rate futures were strongly geared toward a high CPI number; EDZ2 traded 9600 or 4% just prior to the data, testing the NFP low from Friday which was 9599.5.  The actual month/month print of zero caused a panic short squeeze, taking EDZ2 to a high of 9626.5.  Similarly, EDU3 had a range […]

Posted on August 11, 2022 at 5:39 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

New curve lows in front of CPI

August 10, 2022 –CPI this morning expected 8.7% from 9.1% with Core 6.1% from 5.9%.  Yields rose, with tens up 4 bps in front of today’s auction, to 2.796%.  On the eurodollar curve, reds and greens were weakest, both packs settled -9.875.  New low in 2/10 at -48.6.  New low in red/gold euro$ pack spread […]

Posted on August 10, 2022 at 5:48 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Expecting (near) hikes, but every contract from EDZ2 to EDU5 is at a successively lower yield

August 9, 2022 –An early stock rally to new highs fizzled.  The US curve continued to flatten to new lows, with 2/10 spread down to -46, just 10 away from the 2000 low of -56.  The most negative one-year calendar on the ED curve is EDH3/EDH4 at -82.5.  The most positive one-year calendar is EDU2/EDU3 […]

Posted on August 9, 2022 at 4:51 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Blowout NFP causes further inversion

August 9, 2022 –Blowout NFP 528k with 3.5% rate and yoy AHE 5.2% vs expected 4.9%.  June Consumer Credit was released at the end of the day at a whopping $40.15b.  EDM3 was the weakest contract, closing down 24.5 at a price of 9627.0.  On the euro$ strip, EDZ2 is the lowest contract at 9603, […]

Posted on August 8, 2022 at 5:51 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

It’s a Bob Ross market

August 7, 2022 – weekly comment The following tweet is by @_elvishpresley_ [every time I watch the joy of painting] *5 minutes in* yellow ochre?? for a snow-covered mountain?!  alright bob ross this time you’ve really lost it *15 minutes in* bob ross you son of a bitch The Joy of Painting ran on tv […]

Posted on August 7, 2022 at 10:14 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Employment day

August 5, 2022 –Yields slipped in front of today’s Employment report.  The ten year fell 7.7 bps to 2.668%.  On the eurodollar curve, greens (3rd year out) have been the most volatile, and rallied 13 bps today.  NFP is expected 250k, though stronger numbers would fit the administration’s and Fed’s narrative a bit better.  Wages […]

Posted on August 5, 2022 at 5:41 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Flight to safety fizzles

August 3, 2022 –Large jump in yields as reaction to Pelosi’s Taiwan trip fizzled and both Evans and Mester indicated support for 50 to 75 at the September meeting.  Current Fed Effective has printed both 232 and 233.  another 50 would be 283 or 9717.  FFV2 settled 9706.5…pretty close to the midpoint between 50 and 75 in terms of […]

Posted on August 3, 2022 at 5:37 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options