Archive for the ‘Eurodollar Options’ Category

Removing Preemptive Accommodation

October 25, 2020 – Weekly Lael Brainard gave another speech on Wednesday, outlining the macro situation since the onset of COVID.  She said housing and autos rebounded strongly, “a welcome reminder of the power of monetary accommodation” but that many service sectors have come back only about 60% from the March/April plunge.  She therefore calls […]

Posted on October 25, 2020 at 11:16 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Breakout?

October 23. 2020 –This comment written pre-presidential debate.   –At futures settle I marked ten year yield at 84.4, up 4.7 on the day.  Half hour before cash close it had pressed higher, to 86.5.  On June 5, the high yield was 89.6.  The curve steepened across every measure.  2/10 up to a new high on […]

Posted on October 23, 2020 at 4:56 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Brainard looks past next year’s inflation rise

October 22, 2020 –For a while, market zigzags were all about the imposition or removal of China trade sanctions.  Now it’s all about stimulus, and Trump’s comment late yesterday that he didn’t think an agreement was going to happen caused selling pressure in stocks (which has somewhat abated as of this writing).   –Yesterday, the curve […]

Posted on October 22, 2020 at 5:43 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Yields higher, but not TOO high

October 21, 2020 –Themes on the day were somewhat at odds with each other, vol selling in TY and curve steepening.  Early yesterday morning there was an exit seller of 10k TYZ 140c at 15, settled 13 vs 138-225.  Then a huge TYZ0 put tree was bought, >50k 139/138/137.5 put tree (+1/-1/-1) for 3/64 vs […]

Posted on October 21, 2020 at 5:29 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

DJT (transports)

October 20, 2020 –This time DJT has nothing to do with Donald J Trump, or maybe it does.  On Monday the Dow Jones Transports made a new all-time record high of 12000.19, but things went pear-shaped from there.  Though volume wasn’t stellar, DJT range was larger than all of last week’s and it closed on […]

Posted on October 20, 2020 at 5:23 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Fixed income pressing lower

October 19, 2020 –Yields little changed on Friday with tens up 0.8 bp to 74.2.  However, with stocks powering higher this morning due to (choose your reason) vaccine hopes, stimulus hopes, China’s rebound, fixed income is lower.  The low so far in EDH’24, blue March, which has seen exploding midcurve put activity, is 9945.5 on […]

Posted on October 19, 2020 at 5:06 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Macroprudential

October 19, 2020 – Weekly comment The Fed’s Vice Chair for Supervision Randal Quarles, gave remarks last week about the financial system’s response to the “COVID event”.  The main purpose of the speech was, I think, to explain the decision to extend the share buyback suspension and continued limitation of dividends for banks in order […]

Posted on October 18, 2020 at 8:40 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Throwing money

October 16, 2020 –Yields rose slightly as stocks fought back from initial weakness.  ESZ put in a low of 3431.50 before rallying back 44 to 3475.50, down only 5.50.  Yields edged slightly higher with tens +0.8 to 73.4.  Philly Fed surged to 32.3 vs an expected 14.8.  This is above all 2019 levels and all […]

Posted on October 16, 2020 at 5:38 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Trivia

October 14, 2020 –Yields dropped and the curve flattened as stocks saw minor profit taking from near all-time highs.  Earnings today include Alcoa (AA), along with banks, BAC, GS, PNC, USB, WFC.  2/10 down to 58.7 and 5/30 to 121.2 from last week’s new yearly high of 124.6.  The ten-yr ended at 72.6, down 3.8 […]

Posted on October 14, 2020 at 5:35 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Fed turns Lacy Hunt cautious on bonds

October 13, 2020 –Quiet yesterday in rates as Nasdaq soared 2.6% in thin holiday trade. I had no idea indigenous peoples were so enthusiastic about high tech.  Curve had a slightly flatter bias as the red pack was unch’d and golds were +1.125.  There was almost no option trading in rates, although there was a […]

Posted on October 13, 2020 at 5:48 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options