Archive for the ‘Eurodollar Options’ Category
Student loan forgiveness not likely to impact inflation
August 25, 2022 –Yields rose yesterday, TYU2 settled 117-08, down 12 while the cash yield rose 5.8 bps to 3.104%. Euro$ strip down 4.5 to 6 from reds through golds with slight steepening bias. Sept treasury options expire tomorrow; yesterday there was a (new) buyer of 45k TYU 117.75/118.75c spread for 10/64s, settled 10. Powell […]
Weakening data prevents market from setting higher terminal rate
August 24, 2022 –Tone set early as Global US Service PMI was horrendous at 44.1, lowest since June 2020 (pandemic). New Home Sales equally dismal at 511k, lowest since early 2016. Data sparked a front end rally which wasn’t sustained, though red euro$ pack still closed UP 5.125 while golds were DOWN 4.0. Pretty much […]
Financial Conditions again tightening
August 23, 2022 –Rates jumped Monday even as stocks tumbled. SPX down 2.1% while Nasdaq Comp was down 2.5%. Ten year yield rose 5 bps to 3.033% with the entire curve again yielding over 3%. The eurodollar and SOFR curves were much flatter with reds -12 and golds -3.625. The red/gold pack spread closed at […]
The Tenth Contract
August 21, 2022 – Weekly Comment Attached is a chart of Green December Eurodollar, currently EDZ’24, the tenth quarterly contract. I chose to highlight this contract for a few reasons. First, it settled down 20 bps on the week at 9697.0, which is the largest net change for any eurodollar contract aside from green March, […]
Some of our clients are speculating…
August 19, 2022 –One of BBG’s lead-off stories today is ‘US Futures Slide as Global Rate-Hike Wagers Surge’. Hey wait a second…Turkey just EASED rates. Bloomberg: trying to authoritatively find a reason for every wiggle when some moves are simply driven by positioning. –Yesterday’s curve was a bit steeper, reds +3.5 while blues and golds […]
Stretching it out
August 18, 2022 –US rates ended higher Wednesday with tens up 7 bps to 2.893%. On the euro$ strip, weakness was led by greens (3rd year forward) which were down 13.125. Reds, the second year forward, fell 10.75. The Fed minutes indicated concerns over both inflation and growth, with risks to the latter weighted to […]
Late stock profit-taking; oil down
August 17, 2022 –Curve flattened a bit as an early sell-off in the long end reversed. Twos ended +4.6 bps at 3.247 while thirties rose only 1.6 to 3.112. Near ED calendars closed at the top end of ranges as a Fed pushback against the idea of eases next year filtered in. SFRZ2/SFRZ3 settled -39.5 […]
Fed’s response to bad stuff pushed forward
August 16, 2022 –Since the year 2000, the lowest ED one-year calendar was the 1st to 5th contract spread at the end of 2007, at -158 bps. Makes sense, the level of rates was high at the time (5.25% FF at the end of 2006) and it was becoming clear the Fed would have to cut hard. […]
China pulls down everything
August 15, 2022 –CLU2 once again near recent lows at 88.20 this morning, down 3.89 as China’s weakening economic data caused a sharp and broad-based commodity slump. Just over one month ago, CLU2 was over 115. Sept Copper is 3.56, representing a sharp pullback from the rally over the past month. Continued real estate end […]
The Climb
August 14, 2022 – Weekly Comment I was walking east down Monroe Street, coffee in hand, to enter the Chicago Mercantile Exchange from the south entrance. It was a hazy and slightly humid August morning, the time of year when you notice it’s not quite as bright as it was a couple of weeks ago, […]
