Archive for the ‘Eurodollar Options’ Category

Policy Error, 2018

Weekly Comment – December 5, 2021 December euro$ midcurve options expire Friday.  The front EDZ1 contract expires Monday, Dec 13.  The FOMC meeting is December 15.  Quarterly option expiration in equities is December 17. The first four Fed meetings in the new year are Jan 26, March 16, May 4 and June 15.  EDH2 expires […]

Posted on December 5, 2021 at 8:40 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Front end hammer

December 3, 2021 –The front end of the curve took another beating with the 2-yr note up 5.6 bps to 61.7 bps.  The red euro$ pack (2nd year forward) closed -6 on the day, as several Fed officials supported an accelerated timetable on taper/tightening.  To get the ball rolling, Bostic said it was in the […]

Posted on December 3, 2021 at 5:30 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Crushing the curve

December 2, 2021 –Powell’s hawkish shift and widening (gov’t) panic related to omicron conspired to force new lows in the curve with 2/10 down 4 at 87.3, 5/30 down 1 at 62.4 and red/gold euro$ pack spread down 8.25 to just under 42!  On the ED curve whites -1.125, reds -3.375, greens -0.375, blues +3.0 […]

Posted on December 2, 2021 at 5:51 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

If taper is faster, hikes comes faster

December 1, 2021 –EDU2 was trading 9944 when Powell suggested tapering could be accelerated, and it immediately traded 9931 before stabilizing and settling 9934.  It currently trades 9927.  The back end of the curve also sold off, but longer maturities then staged a strong rally, flattening some parts of the curve to new lows.  For […]

Posted on December 1, 2021 at 5:13 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Moderna says ‘panic’

November 30, 2021 –Yellen and Powell today at 10:00 EST, but Powell preempted his speech by saying late yesterday that omicron adds to economic risks and inflation uncertainty.  We’re back to Friday’s action: lower oil, lower stocks, higher treasury prices and a tepid rally in gold.  Both Bloomberg and FT lead off with warnings about […]

Posted on November 30, 2021 at 5:05 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

It’s the supply chain, mate. It’s broken.

November 28. 2021 – weekly comment Supply chain disruptions.  All over the news.  Widespread reports of chip shortages, images of ships stranded outside of ports, trucks idling at pick up points.  The media is now constantly advising to order early, and be prepared to pay much higher prices.  The analogy I would make in financial […]

Posted on November 28, 2021 at 1:37 pm by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Black Friday

November 26, 2021 –The day after Thanksgiving is known as black Friday, when retailers used to turn the corner for the all-important holiday selling season.  Today, it’s about the new covid variant that threatens to ice the economic system (again).  As of this writing, WTI is down 6% (CLF2) and mini-SP is down 2%.  Interest […]

Posted on November 26, 2021 at 4:38 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

WIN

November 24, 2021 HAPPY THANKSGIVING! –WIN was a 1974 slogan which stood for Whip Inflation Now.  The current administration is also trying to whip inflation, by announcing yesterday a tap of the Strategic Petroleum Reserve.  The market obliged (having already sold the rumor) and bought the fact.  Yesterday CLF2 settled 78.50, up 1.75 on the […]

Posted on November 24, 2021 at 4:57 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Stability at the Fed (but maybe not markets)

November 23, 2021 –New lows in all front euro$ contracts as Powell was reappointed, causing an unwind of bets for a more dovish Chair.  Greens led the carnage, down 14 bps on the day (3rd year out).  All contracts from EDZ2 back were down at least 10.5.  New highs in some of the near calendars: […]

Posted on November 23, 2021 at 5:19 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Flatter

November 22, 2021 –CME Nasdaq 100 futures are at a new all-time high this morning.  I saw somewhere that there have never been as many stocks within the Nasdaq Composite making new lows as the index is making new highs.  The attached chart shows the number of stocks making new lows in blue (about 10% […]

Posted on November 22, 2021 at 5:11 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options