Archive for the ‘Eurodollar Options’ Category
You guys playing cards?
October 19, 2022 –Yesterday afternoon, I jotted a note to myself, “long bond trades soft…20y auction Wednesday.” This morning USZ trades 122-25, down 25. As attached chart shows, the contract was at a high of 145-12 at the start of August. Is that what you call a down-trend? 20-yr auction reopening is $12 billion. WI […]
Invert the front, steepen the back
October 18, 2022 –The 2yr yield fell 5 bps yesterday to 4.45%, completely reversing Friday’s gain. The ten-yr yield rose 0.6 bp to 4.008. Red eurodollars were the leader on the curve, rising 6 bps in price, while golds, the fifth year out, were only +0.75. –A couple of interesting notes about spreads on either […]
Set up, like a bowlin’ pin
October 17, 2022 –Continued weakness in the short end of the curve Friday. The 2y note rose 5.2 bps to 4.501% while tens were up 5.0 to just over 4%. The 2/10 treasury spread closed at -50, the lowest since April 2000. On the dollar curve, the red pack fell 7.75 bps to a price […]
Fasten your seatbelts
October 14, 2022 –Staggering moves associated with yesterday’s CPI. ESZ and NQZ had key reversals: new lows early, outside days, huge ranges, closed near the highs of the session; SPX up 2.6%. This price action indicates that selling pressure has come to an end. However, these signals have not been effective recently. I would only […]
CPI
October 13, 2022 –CPI today expected 8.1% vs 8.3 last, with Core 6.5 from 6.3. Jobless Claims 225k from 219. Intel cutting 20% of its workforce. 30 year auction today, following less than stellar results in tens, though modest weakness in TYZ quickly reversed. –FOMC minutes yesterday. Staff saw risks to baseline projections in economic […]
Everything’s fragile
October 12, 2022 –Today’s news includes PPI expected 8.4% yoy vs 8.7 last, with Core 7.3% vs 7.3. Ten year note auction and FOMC minutes. CPI tomorrow. –Andrew Bailey warned that the Bank of England would stop gilt purchases at the end of this week, causing an immediate swoon in risk assets. The change from […]
Attentive to shocks
October 11, 2022 –ESZ very nearly at new lows this morning 3590. Early story yesterday said ‘Berlin backs joint EU debt for loans to ease energy crisis’. Bunds and tens sold off in response with TYZ 110-22+ low. Then a ‘German Gov’t Source’ disputed the story, and treasuries bounced. Current TYZ 111-00. In a broad […]
Columbus Day, bank holiday
October 10, 2022 –El-Erian yesterday blamed the Fed for “slamming on the brakes this year” after frequently criticizing the Fed for being too soft. “So yes, I fear we risk a very high probability of a damaging recession that was totally avoidable.” Avoidable? –Rate futures declined Friday, led by the short end. EDZ2 and […]
Too Much Priced?
October 9, 2022 – Weekly Comment Saturday morning (10/8). Two news items: Ukraine blew up the Kerch Strait Bridge. WSJ Nick Timiraos headline: Fed’s Inflation Fight Has Some Economists Fearing an Unnecessarily Deep Downturn. -Rapid rate increases provide less time for central bankers to study their economic effects. These two taken together tell me that […]
4.25% by year-end…then crickets?
October 7, 2022 –NFP today expected 250k. CPI is Wednesday. Auctions of 3s, 10s, 30s start Tuesday. –NY Fed has a relatively new measure of Global Supply Chain pressures which has declined for five consecutive months and is back to more normal levels, unless you’re looking for a good proscuitto sandwich. https://www.newyorkfed.org/research/policy/gscpi#/interactive –Nothing from Fed […]
