Archive for the ‘Eurodollar Options’ Category

Everything’s at 3%

July 1, 2022 –Eurozone inflation record 8.6%.  Yesterday’s PCE prices were slightly lower than expected with headline at 6.3 and Core 4.7 vs 4.8 expected.  Chicago PMI 56 vs expected 58.  Weakness in equities to close out June (worst first half in 50 years) helped yields fall.  Tens sank just below 3%, down 11.8 bps […]

Posted on July 1, 2022 at 5:37 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

A bad first half

June 30, 2022 –Stocks on their back foot this morning to end the quarter, with ESU -50.25 at 3771.0 (down around 17% on the qtr).  Yesterday I mentioned that the Fed’s preferred measure of inflation, PCE prices, was coming out Friday…actually today.   PCE inflation yoy expected 6.4% from 6.3 last, Core 4.8% vs 4.9% last.  […]

Posted on June 30, 2022 at 5:50 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Equity market jitters

June 29, 2022 –Yields were little changed yesterday but stocks were under pressure with SPX falling 2%.  Ten year yield essentially unchanged at 3.198%.  TYU settled 116-22+; there are continuing buys of put spreads: +10k Week2 July 114/113ps (settled 3), +10k TYQ 114/113ps (settled 6), +15k TYU 115/113p 1×2 for 1 (settled 2). –Mester says […]

Posted on June 29, 2022 at 5:49 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Treasury demand eases

–Treasuries lower this morning in front of the seven year auction.  Yesterday’s 5-yr was soft, with bid to cover at only 2.28, lowest since Feb 2021.  Yield was 3.271, tailing by 3.5 bps. While Durables were solid at 0.7%, the Dallas Fed Mfg number plunged to -17.7, lowest in six years outside of the covid […]

Posted on June 28, 2022 at 5:29 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

A little over 3%

June 27, 2022 –EDU2 on Friday settled +6 at 9675.0.  EDU4 settled -6.5 at 9687.0. (Two years apart and nearly the same price).  The curve steepened as UofM’s longer term inflation expectation number was revised down to +3.1% from the mid-month initial print of 3.3%.  Of course, the 3.3 release was a major factor in […]

Posted on June 27, 2022 at 5:51 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Euro$ curve may signal end of Fed cycle

June 26, 2022 – Weekly comment Once again Bullard referred back to 1994 as a parallel to tightening in this cycle.  Below is a chart of the red/green Eurodollar pack spread which overlays the tightening schedule in 1994 (chart starts in late November 1993, amber) to the current time (chart starts late Jan 2021 in […]

Posted on June 26, 2022 at 11:05 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Sudden re-pricing

June 24, 2022  –Repricing since the FOMC meeting has been extraordinary.  On June 15, the day of the meeting, EDU2/EDU3 settled 54.5.  Yesterday it traded as low as 5 before coming back to settle 15.5.  EDZ2/EDZ3 was -28.5 but settled -44 yesterday.  EDZ2/EDH3 was 11, traded as low as -7.5 before settling -4.5 yesterday.  The […]

Posted on June 24, 2022 at 5:10 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

End of hikes, end of growth

June 23, 2022 –The message from the interest rate market is becoming more shrill: a recession is coming fast. This conclusion probably isn’t good for stocks but hold the thought.  –For a while the lowest contract on the euro$ strip was EDM3. The idea was that Fed tightening would be over by the middle of […]

Posted on June 23, 2022 at 5:25 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Dr Copper, in the study, bludgeoned by a gold candlestick

June 22, 2022 –The front EDU2/EDU3 one-year calendar made a new low yesterday of 39 bps, down 4.5 on the day, as the market anticipates that Powell’s semi-annual testimony today will emphasize the Fed’s fight against inflation.  In fact, EDU2/EDU3, the front one-year spread, is the ONLY positive one on the ED strip until EDM5/EDM6 […]

Posted on June 22, 2022 at 5:39 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Summer Solstice

June 21, 2022 –On Friday EDU2/EDU3 made a new low settle of 43.5 from 87 the previous Friday; down 2 on the day.  The euro$ curve continues to flatten in the face of the Fed’s inflation fighting resolve. EDZ2/EDZ3 settled -28.5, indicating that by next year, the Fed will be back to an easing bias.   […]

Posted on June 21, 2022 at 5:34 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options