Archive for the ‘Eurodollar Options’ Category

Life is full of trade offs

December 10, 2023 – Weekly Comment****************************************** Last time I focused on SFRZ4 which had rallied 49.5 on the week ending Dec 1, with a final settle of 9601.0.  The settle from the previous Friday was 9551.5.  The midpoint between 9551.5 and 9601 is 9576.25.  Friday’s settle was right there at 9576.5, a fall of 20.5 […]

Posted on December 10, 2023 at 11:56 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

PAYROLLS!

December 8, 2023******************* –Now it all boils down to the payrolls number.  For a long time the employment data faded in importance, now it’s back to its rightful place up there with the orange juice crop report. Wait a second, is that Kent Dorfman (Flounder) on the left side of the screen? Never noticed that […]

Posted on December 8, 2023 at 5:37 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Long bond yield sinks in flattener

December 7, 2023******************* –Long end of the market was well bid in conjunction with a hard flattening trade.  Two year rose 2.6 bps in yield to 4.601% while the thirty yr fell 8 bps to 4.225%.  US vol had a nice jump from 13.9 to 14.5 ( USH4 atm straddle from 6’12 to 6’32).  Icing […]

Posted on December 7, 2023 at 5:30 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Cracks in Labor Market Support Treasuries

December 6, 2023******************* –Rate futures stubbornly bid yesterday, sparked by a new yearly low in JOLTs at 8733k (expected 9300). ISM Services a bit stronger than expected at 52.7, but the employment component fell to 50.7 vs 51.4 last.  This morning ADP is released, expected 130k.  Unit Labor Costs projected -0.9 from -0.8. Payrolls on […]

Posted on December 6, 2023 at 5:02 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Small pop in yields after last week’s plunge

December 5, 2023******************* –Yields reversed part of Friday’s plunge. Yesterday the ten year finished at 4.29%, up 6.4 bps, taking back about half of Friday’s 12.4 bp drop to 4.226%.  SFRZ4 was up 21.5 on Friday to 9601.0, yesterday it settled -9.5 at 9591.5.  Gold and silver posted huge outside day ranges, having made new […]

Posted on December 5, 2023 at 5:45 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Unhinged

December 4, 2023******************* –Attacks on a US warship and commercial vessels in the Red Sea sparked huge volatility in gold.  Dec Gold is currently nearly unchanged at 2069, but made a new high of 2130 and has had a range so far of $69.  Bitcoin also exploded higher but is holding gains above 42k, high […]

Posted on December 4, 2023 at 5:24 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Gimme Three Steps

December 3, 2023 – Weekly Comment**************************************** I was cuttin’ a rugDown at place called The JugWith a girl named Linda LouWhen in walked a manWith a gun in his handAnd he was looking for you know who… As everyone knows, there was an explosive bond rally in the past week.  All I could think of […]

Posted on December 3, 2023 at 1:32 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Against the wind

December 1, 2023*******************–SFRU4 settled -7.5 at 9547.0, at the first buy level of Wednesday’s block buying spree.  The final purchase price was 9555.0.  This morning the contract is printing 9553.0; last Friday’s settle was 9520.5.  The market synthesized Waller and Ackman’s comments from earlier in the week and essentially priced another 25 bp cut.  The […]

Posted on December 1, 2023 at 5:16 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Big Buyer

November 30, 2023********************* –Job Claims expected 218k from 209.PCE prices 0.1% m/m vs +0.4, with yoy expected 3.0% vs 3.4% last.  Core yoy 3.5% from 3.7%.  Eurozone inflation printed 2.4%. Despite yesterday’s 5.2% Q3 GDP print, Bill Ackman’s comments during an interview with David Rubenstein sparked buying across the curve.  Ackman said he thinks the […]

Posted on November 30, 2023 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

A look back at the 2018/2019 playbook

November 29. 2023********************* Capitalism without failure is like religion without hell.-Charlie Munger  –This is sort of funny, or maybe it’s not.  I don’t really have time to do it justice but am throwing the ideas out anyway. –This morning the Drudge Report starts with the headline: ‘Masks, Social Distancing Return to China – Europe on […]

Posted on November 29, 2023 at 5:26 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options