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 […]

Posted on April 3, 2020 at 5:51 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on April 2, 2020 at 5:36 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on April 1, 2020 at 5:23 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 31, 2020 at 5:18 am by alexmanzara · Permalink · Leave a comment
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.  […]

Posted on March 30, 2020 at 4:25 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 29, 2020 at 8:34 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 27, 2020 at 5:19 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 26, 2020 at 5:30 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 25, 2020 at 5:15 am by alexmanzara · Permalink · Leave a comment
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 […]

Posted on March 24, 2020 at 5:38 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options