Archive for the ‘Eurodollar Options’ Category

Rate hikes questioned

October 26, 2021 –Yields eased yesterday, partially because the prospect of the BOE hiking next week was thrown into question.  An BBG story from early yesterday said ‘Tenreyo suggests bank of England can wait to move on rates’.  Andrew Bailey, who has recently signaled the BOE would act to contain inflation risks, is not likely […]

Posted on October 26, 2021 at 5:38 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

One-yr euro$ calendars vs actual hikes

October 24, 2021 -Weekly comment ************************************** “If you stop at general math, you’re only going to make general math money.” – Calvin Cordozar Broadus Jr.  aka Snoop Dogg “The simple mathematics of the yield curve governs the relationship between short- and long-term interest rates. Ten-year yields, for example, can be thought of as an average […]

Posted on October 24, 2021 at 10:53 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Three hikes in a year?

October 22, 2021 –Interest rate markets continue to force the issue for hikes, with the red euro$ pack (2nd year) plunging 9.25 bps to an average price of 98.935 or 1.065%.  At settlement, EDM’23 was the weakest contract, down 10 on the day to 9884.5.  Going into the end of the session it traded as […]

Posted on October 22, 2021 at 5:38 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Blues Brothers

October 21, 2021 But you know what it doesn’t have? Chicago cops. Because there are none left.

Posted on October 21, 2021 at 5:36 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Bond bids are passive

October 21, 2021  –Energy prices are one of the most easily observed indicators of inflation, and CLZ1 was at a new high late yesterday, trading 83.54, up 1.10.  This morning a large chunk of that gain has been given back, with stock futures slightly lower as well.  Late weakness yesterday in the long end.  TYZ […]

Posted on October 21, 2021 at 5:27 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Send in the Guard!

October 20, 2021 –The curve rebounded somewhat from the hard flattening over the past couple of days.  Five year yield fell 0.5 bp to 1.155% while the thirty year rose nearly 7 to 2.087% in front of today’s 20 yr auction.  The red/gold pack spread (2nd to 5th year) jumped 8.75 to 96.375, sharply snapping […]

Posted on October 20, 2021 at 5:26 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Turnaround Tuesday?

October 19, 2021 –Follow through Monday from Friday’s price action.  All near euro$ calendar spreads made new highs as hike prospects are brought forward.  Back spreads made new lows.  Peak on the curve for a one-year calendar is still EDU’22/EDU’23 at 84.5, a new high for any 1-yr calendar this year.  Of course, this spread […]

Posted on October 19, 2021 at 5:04 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Front end implosion

October 18, 2021 –Eurodollar contracts are under continued pressure this morning with EDZ’22 printing a low of 9922.5, 7.5 lower than Friday’s settle (now trades 9925).  On Sept 21, the day before the last FOMC meeting, the settle was 9957, so it’s been the equivalent of one full rate hike in less than a month.  […]

Posted on October 18, 2021 at 5:42 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

In to the Fall

October 17, 2021- Weekly Comment *************************************** In my world, here’s what tells the story of the week:  EDZ’21/EDZ’22 calendar spread rose 13.5 bps on the week from 38 to 51.5.  EDZ’22/EDZ’23 was nearly unchanged, rising just 0.5 from 68.5 to 69.0.  EDZ’23/EDZ’24 fell 12.5 bps from 43.5 to 31.0. In layman’s terms, the market moved […]

Posted on October 17, 2021 at 11:48 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Capitulation

October 15, 2021 –Eurodollar curve continued to flatten even as stocks soared on earnings.  New recent lows in pack spreads: red/green at 54.625 (holding above 1/2% but down 2.125 on the day).  Red/gold 96.875, down 1.625 on the day.  There was massive futures liquidation with open interest plunging 220k, almost all in the first two […]

Posted on October 15, 2021 at 5:25 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options