Archive for the ‘Eurodollar Options’ Category

Rate hike chance moves up

June 18. 2021 –Spectacular moves in many markets yesterday as players try to digest Powell’s upbeat economic summary and more hawkish outlook for monetary policy.  (I think “players” may be a more appropriate word than “investors” for this type of volatility).   Interest rate curves were one of the most visible reflections of changing positions, where […]

Posted on June 18, 2021 at 5:45 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Steepness shifts to front end in wake of FOMC

June 17, 2021 –The five year note was crushed as the Fed indicated a couple of rate hikes by the end of 2023.  Five-year (at futures settlement) was up 9.2 bps to 0.876%, while tens rose 6.1 bps to 1.558% and thirties actually fell a fraction of a bp.  5/30 spread easily made a new […]

Posted on June 17, 2021 at 5:07 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Current Conditions

June 16, 2021 –Former NY Fed President Dudley often spoke about financial conditions.  In a speech from March 2017, he mentioned 5 key inputs, short term treasury rates, long term treasury rates, credit spreads, the value of the dollar, equity prices.  Going into today’s Fed meeting, 3-month libor is at a record low and bill […]

Posted on June 16, 2021 at 5:48 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Bats*** crazy

June 15, 2021 –Curve bounced with the ten year yield rising 4.5 bps to 1.497% and 2/10 up 3.3 to 133.8.  On Monday, 3-month libor set at a new record low of 11.8 bps, leading to the highest ever final settle of a euro$ contract, EDM1 at 99.8820.  Coincidentally, Nasdaq made a new all-time high.  […]

Posted on June 15, 2021 at 5:22 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Inflated Household Net Worth

June 13, 2022 The ten year yield dropped 11 bps on the week to 1.45%, with CPI clocking in at 5% yoy.  JOLTS data last week was off the charts at 9286k, indicating powerful demand to fill job openings.  This week features the June FOMC meeting.  The Fed has apparently won the “inflation is transitory” […]

Posted on June 13, 2021 at 9:26 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Bureau of Weights and Measures

June 11, 2021 –A blockbuster inflation report was met with a shrug, as 5% yoy CPI caused the curve to make new lows and SPX to hit an all-time high.  It’s incorrect to say the report “caused” the curve to make new lows, but that’s what occurred in any case.  Core CPI was +3.8% yoy.  […]

Posted on June 11, 2021 at 5:33 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

CPI… already in the rearview mirror

June 10, 2021 –Nearly all eurodollar calendar spreads etched out new recent lows as the ten year auction was well received, with tens closing just under 1.5%.  2/10 at a new low of 133.3, down 4 on the day, while 5/30 ended at 142.4.  Red/gold pack spread closed -4.375 at 146.25, just below 50 bps […]

Posted on June 10, 2021 at 5:28 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Risk free rates

June 9, 2021 –The ten year note yield dropped 4 bps to 1.526% yesterday in front of today’s $38 billion auction, and futures are slightly higher yet this morning.  Various reasons given for continued strength in bonds.  I saw one article surmise that taper bets are receding, while another said that inflation concerns are receding.  […]

Posted on June 9, 2021 at 5:50 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Operation Bitcoin

June 8, 2021 –Little net change in fixed income yesterday as the treasury kicks off with the three year auction.  Tens were up less than 1 bp at 1.567%.  Implied vol declined, especially in ED’s.  June midcurve options expire on Friday.  The green midcurve 99.4375 straddle on EDM’23, which settled 9943, settled 4.75 and the […]

Posted on June 8, 2021 at 6:03 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Plus

June 7, 2021 –Front Soybean oil is at a new all-time high this morning at 72.77.  Stocks and bonds have given back some of Friday’s gains which saw tens end at 1.56%, down over 6 bps. as a solid payroll number at 559k was lower than expected and well under whisper numbers.  This week brings […]

Posted on June 7, 2021 at 5:17 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options