Archive for the ‘Eurodollar Options’ Category

China tech spillover

July 27, 2021 –The China tech sell-off is continuing, leading to spillover weakness in US index futures.  Hang Seng down 4.6%, and Shanghai Comp down 2.5%.  Alibaba fell 5.5% and Meituan was crushed, falling 17.6%.  The latter company is something like Groupon, but the clip I read was that both companies were hit as they […]

Posted on July 27, 2021 at 5:15 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

China Schools ‘For-Profit’ Tutors

July 26, 2021 –Today’s newsclips seem to be focused on the regulatory situation in China, where a new crackdown on “for-profit” educational firms is spilling over into broader selling.  The larger US universities with massive endowment funds are nervously shifting on their feet…  In any case, Hang Seng fell 4% and CSI300 fell 3.2%.  China’s […]

Posted on July 26, 2021 at 5:24 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Borrow and Invest

July 25, 2021 – Weekly Comment Coffee prices exploded higher last week on a frost in Brazil.  On June 30, KCU1 settled 159.75.  On Friday, the high was 209.50, with a settlement at 189.00.  I was chatting with a friend in NY about this price action, and he mentioned that his daily afternoon latte was […]

Posted on July 25, 2021 at 8:58 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Flippers

July 23, 2021 –Yields edged slightly lower on a quiet day with tens ending at 1.263%, down 1.7.  Eurodollar strip +0.5 to +1.5 out to golds. There continues to be large midcurve put buying.  Yesterday, a block of 40k 2EZ 9850 puts for 3.0 covered 9910.5 was notable, though it appears to be an exit […]

Posted on July 23, 2021 at 5:46 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Risk on

July 22, 2021 –Much of Monday’s extreme yield plunge and flattening reversed yesterday with the 10y yield up just over 6 bps to 1.28%.  Red/gold euro$ pack spread rose over 6 bps to 1.04625.  Downside in Eurodollar options dominated.   Example, buyer added to 3EZ 9837.5 puts from 11 to 12 with EDZ4 trading down to […]

Posted on July 22, 2021 at 5:55 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Long yields edge back up

July 21, 2021  –Early heavy selling in EDU1 (over 100k down to 9984.5; settled 85.5) helped front calendars settle at new recent lows.  EDU21/EDU22 fell 2.5 to just 14.0, while EDZ21/EDZ22 dropped 3 to just 20.5.  The reds were further supported by the exit of about 70k 0EU 9975/9962/9950 put flies sold at 2.5.  However, […]

Posted on July 21, 2021 at 5:39 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Yield implosion

July 20, 2021 –Yields plummeted as stocks wobbled, tens and thirties fell 12 bps to 1.18% and 1.815% respectively.  This, as SPX eased 1.6% with Nasdaq down just slightly over 1%.  I guess it’s due to the delta variant.  All curve trades were obliterated, making new recent lows.  2/10 down 10.4 bps to 97.  Red/gold […]

Posted on July 20, 2021 at 5:16 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Starting the week risk-off

July 19, 2021 –SPX fell 75 bps Friday and Nasdaq down 80 bps, with follow through this morning.  Rate futures are higher, with TYU above 134-00 with the cash yield nearing 1.25%, the lowest since mid-Feb.  Then ten year yield moved from 50 bps in August (the low set just before the Fed changed its […]

Posted on July 19, 2021 at 5:37 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Inflation and Interest Rates. Unrelated

July 18, 2021 – weekly comment Here’s a nice summary of recent inflation data by CreditBubbleBulletin: Consumer Prices (CPI) jumped 0.9% in June, versus expectations of a 0.5% increase. Year-over-year CPI was up 5.4% (expectations 4.9%), the strongest jump since 2008. And for analysts with issues with year-over-year “base-effects”, consumer inflation was up 3.3% in […]

Posted on July 18, 2021 at 9:08 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Flattening of back end continues

July 16, 2021 –Empire Mfg yesterday was 43.0, the highest ever.  Import Prices were +11.2%, near the highest, although the oil surge in 2008 saw a print of +21.4.  Though data isn’t uniformly strong, it is still surprising that yields were crushed yesterday, with tens down 5.7 bps to 1.297%.  The curve flattened, with many […]

Posted on July 16, 2021 at 5:28 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options