Archive for the ‘Eurodollar Options’ Category
Dislocations in search of equilibrium
April 3, 2020 –Some of the keys for improved market stability would be a weaker dollar, a decline in libor, a decline in vix, somewhat higher oil prices. We’ve seen adjustments in some markets, but can’t seem to get the entire picture to mesh. For example, the surge in oil yesterday on potential production cuts […]
In: Eurodollar Options
Pay as you go
April 2, 2020 –Shortly after the Saudi/Russia spat which led to a plunge in oil prices I wrote that the US would/should buy oil for the SPR. Well it wasn’t the US, it’s China that is buying to boost reserves, leading to a pop in prices this morning with CLK0 above 22. The other big […]
In: Eurodollar Options
Q2 starts
April 1, 2020 –Not much net change in rates yesterday to end the quarter. Curve steepened slightly with 2’s down nearly 1 bp at 21.8 and tens +1.2 to 68.8. Block trades reveal illiquid conditions in treasuries. For example, yesterday 4700 ultra bonds traded on block at 224-00 as futures were about a point lower […]
In: Eurodollar Options
Here comes April
March 31, 2020 –A couple of levels: ESM0 current 2630 and NQM0 7942. 38% retrace from high to low, ESM0 2641 and NQM0 7833. So ES is testing the first retrace, while Nasdaq is thru. 50% retrace levels are 2786 and 8204. For some reason, it seems as if the futures trading limits act as […]
In: Eurodollar Options
Waiting for the SPR purchase announcement
March 30, 2020*strategic petroleum reserve The May WTI crude contract traded below 20 this morning with a low of 19.92 and now prints 20.45. On the Market Huddle podcast with Kevin Muir and Patrick Ceresna, one of them mentioned that a barrel of Western Canadian Select was about the same price as a Starbucks latte. […]
In: Eurodollar Options
Libor rate to decline in order to converge to futures
March 29, 2020 – Weekly comment On Sunday, 15 March, the Fed cut the FF target to 0-25 bps. On the 16th, the Fed Effective rate fell to 25 bps from 110 on Friday the 13th. Since then it has fallen further, to just 10 bps last Wednesday and Thursday. On 12 March, 3-month libor […]
In: Eurodollar Options
Virtual reality
March 27, 2020 –Jobless claims hit 3.28 million, but stocks soared with SPX +6.24%. In a way, the first sentence says it all: the Fed can provide unlimited paper liquidity to generate the illusion of financial healing, but the real physical and economic world will take time, and jobless claims signify the pain and changes […]
In: Eurodollar Options
JOB CLAIMS POOL
March 26, 2020 –If I were at the office today, I would have suggested a $5 pool on ‘closest to the JOBLESS CLAIMS number’. I am going to guess 1.75 million. –Yields yesterday were fairly well contained. Curve steepened in dollar with red pack just barely positive at +0.125, greens -3.5, blues -5.625. I marked […]
In: Eurodollar Options
Nothing’s gonna touch you in these golden years
March 25, 2020 –DJIA jumped 11.4% and SPX +9.4% yesterday in anticipation of the $2T gov’t stimulus deal, which reportedly will be passed today. As of this writing stocks have built on gains with ESM0 +58 at 2496.00. Treasuries are lower with TYM0 177-20, down 1-07 and a cash yield of 85.5. Curve is slightly […]
In: Eurodollar Options
Fed support now unlimited
March 24, 2020 –The Fed removed any guise of the illusion that it only would accept top-rated collateral, and has even taken the step to create a special purpose vehicle to support buying anything it feels the need to, while Congress remains on the verge of passing a $2 trillion stimulus bill. This morning, markets […]
In: Eurodollar Options
