Archive for the ‘Eurodollar Options’ Category

May 23, 2022 –In my opinion Modern Monetary Theory is working exactly as advertised.  I’ve had several conversations with people complaining about one boneheaded government program or proposal after another; they typically close by saying, “And we’re the ones paying for it!” as if they get a specific tax bill for a specific program.  That’s […]

Posted on May 23, 2022 at 5:51 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Barely Squeakin’ By

May 22, 2022 – Weekly Comment Retail can be a tough business.  Consumer spending accounts for 2/3rds of GDP, as we’re often reminded.  In any case, retail stocks have taken an absolute shellacking in the past month or so.  From April 18 (this year’s tax date) to Friday, May 20, here are some changes on […]

Posted on May 22, 2022 at 11:56 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Two short-end interest option trades lean in opposite directions

May 20, 2022 –Yields declined on yesterday’s equity market weakness, with ESM having tested the previous week’s low of 3855; yesterday’s low was 3856. May opex in equities.  The ten year fell 3 bps to 2.851%, though TYM2, with a settle of 119-225 was well off the early morning fear-induced high of 120-10.  EDZ2/EDZ3 traded […]

Posted on May 20, 2022 at 5:52 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

The Fed affects demand…for stocks

May 19, 2022 –Ouch!  Am I bleeding?  DJIA -3.6%, SPX -4.0% and Nasdaq Comp -4.7%.  Big retail stocks were hammered.  Since last month’s highs WMT -23%, TGT -36% and COST -29%.  Oh, is that what Powell means when he keeps saying the Fed can affect the demand side?  All of a sudden the tenuous relationship […]

Posted on May 19, 2022 at 5:32 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Twitter

May 18, 2022 –Saw this on twitter: “Wall Street is heading into a summer from hell – a period of extreme volatility that top investors say will bring a near-biblical reckoning.”  I like it,  Even if it WAS churned out by a bot.  I might have modified it a bit by substituting ‘The US’ for […]

Posted on May 18, 2022 at 5:57 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Destroy demand by Christmas

May 17, 2022 –Low volume Monday.  The ten year yield eased 5.8 bps to 2.873%.  New lows in several of the near one-year eurodollar calendars.  I’ll focus on Dec’22/Dec’23 which printed -0.5 and settled 0.0, down 6 on the day from Friday; it’s the nearest one-yr to have slightly inverted.  In early January, this spread […]

Posted on May 17, 2022 at 5:17 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

State hoarding

May 16, 2022 –This morning it’s all about China.  And Wheat.  China’s data was terrible due to covid lockdowns, with April Industrial Output -2.9% yoy.  Retail sales -11.1%.  The yuan continues to weaken with CNY 6.794.  July Wheat is up over 50 cents at 1230.  High on March 8 was 1278 1/4; today’s high is […]

Posted on May 16, 2022 at 5:10 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

Forward growth expectations worsening

May 15, 2022 – Weekly comment Even as inflation data released this week were worse than expected (yoy CPI 8.3%, Core 6.2% and PPI 11.0%) calendar spreads for next year declined substantially on the week.  For example, EDZ2/EDZ3 one-year settled at a new low of 6 bps, down from 23 the previous Friday.  The high […]

Posted on May 15, 2022 at 11:38 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

It’s the little things

May 13, 2022 –Yesterday I mentioned that EDZ2/EDZ3 one-yr calendar had made a new low at 13.0 on Wednesday’s close.  Thursday’s settle was another new low at 6.5 bps (9698.5/9692.0).  In fact, the first three one-yr spreads settled at new lows, with EDM2/EDM3 at 140 bps (high had been 182).  While FF contracts still indicate […]

Posted on May 13, 2022 at 5:51 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options

EDZ2/EDZ3 posts a new low at 13

May 12, 2022 –CPI higher than expected 8.3% caused a sharp break in interest rate futures, which was then erased as the session progressed, with weakness in stocks persisting.  Treasury vol declined as bonds rallied, with TYN down 0.5 to 7.3, TYN 119^ settled 2’27 vs 118-245s.  –On Tuesday, 0EK 9662.5^ settled 16.5, and yesterday […]

Posted on May 13, 2022 at 4:27 am by alexmanzara · Permalink · Leave a comment
In: Eurodollar Options