Archive for the ‘Eurodollar Options’ Category

Kinky Curve

January 22, 2021 –A few new highs yesterday:  Ten year treasury to inflation-indexed note breakeven to 218.5.  There are a lot of data points that can’t quite seem to surpass highs from the middle of 2018, but this spread has equaled the highs of that year (10 yr inflation proxy).  5/30 treasury sprd new high […]

Posted on January 22, 2021 at 5:36 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Playing the lottery

January 21, 2021 –Equities surged to new highs on Biden’s inauguration, but fixed income maintains an underlying bid.  Tens essentially unchanged at 1.09%.  Eurodollar curve out to five years unch’d to -1.  However, even though overall action was muted, EDH1/EDH2 one-year eurodollar calendar settled at a new recent low of -0.5 due to a seller […]

Posted on January 21, 2021 at 5:02 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Hump day

January 20, 2021 –Inauguration day.  Treasury auctions 20y bonds.  Fed’s purchases tomorrow consist of $3.625 billion in 7 to 20 yrs. –Although Mnuchin, with input from TBAC, ultimately dismissed the idea of issuing long dated bonds, former Treasury Sec’y Robert Rubin last week suggested locking in long-term borrowing costs with long dated issuance, and Yellen […]

Posted on January 20, 2021 at 4:30 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Yellen sellin’

January 19, 2021 –Once again worth noting the large seller of EDU’23 9950 calls which has smothered back month eurodollar vol and spilled slightly over into treasuries.  On Friday another 40k were sold at 17.5, bringing the total to ~115k.  Settled 18.0 vs 9947.5.  Yesterday’s holiday activity appeared muted.  Tens ended Friday at 1.095% ref […]

Posted on January 19, 2021 at 5:15 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Russell vs SPX

January 18, 2021 –As noted previously, NFIB small business optimism seems to be correlated with Russell 2000 small cap index.  When Trump was elected, the combination of less regulation and lower taxes sparked a surge in NFIB, and Russell soon followed.  The two are diverging currently, with small business optimism plunging in the last report to […]

Posted on January 18, 2021 at 6:31 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Global Walls

January 17, 2021 – weekly comment “The treasury market’s bears had better take notice;  There’s a wall of global cash poised to swoop in and buy, likely limiting the upside in yields.” So begins a BBG article from this weekend by Liz Capo McCormick et al, who I respect as a journalist, but I think […]

Posted on January 17, 2021 at 12:10 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Long end weighed down by stimulus and price pressures

January 15, 2021 –Pressure on the long end continued Thursday with the 30y bond climbing 5.6 bps to 1.874% as Biden’s $1.9 trillion stimulus package was leaked.  Tens rose 4.1 bp to 1.129 with the two year unchanged.  5/30 spread notched a new high for the move at 139.  Powell was uneventful, saying that policymakers […]

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

Risk reversals

January 14, 2021 –Yields retraced a bit of the recent surge, with tens down 5 bps at 108.8.  The combination of a strong 30-yr auction and Brainard’s comments provided midday support into the close.  Key from Brainard:  The economy is far away from our goals in terms of both employment and inflation, and even under […]

Posted on January 14, 2021 at 5:42 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

News of tapering is premature

January 13, 2021 –Early morning weakness in fixed income subsided after the ten year auction; yields ended only modestly higher.  Tens up 0.7 bp to 113.8.  2/10 squeaked to a slight new high of 99.3.  Eurodollars were flat to down 1 out to five years.  Today’s news includes CPI, expected +0.4 month/month with yoy Core […]

Posted on January 13, 2021 at 5:06 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Yields march higher

January 12, 2021 –Interesting session Monday which featured continued steepening and a push to higher yields.  Tens rose 2.1 to 113.1.  Back month euro$ calendars have exploded over the past week as sentiment has shifted.  Red/gold euro$ pack spread (2nd yr forward vs 5th year forward) rose over 4.5 on Monday to 98.5, equaling 2/10 […]

Posted on January 12, 2021 at 5:36 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options