Archive for the ‘Eurodollar Options’ Category
Uncertain, but economy strong (for now)
June 19, 2022 – Weekly comment A couple of excerpts from Powell’s press conference: …the economy often evolves in unexpected ways. And we will strive to avoid adding uncertainty in what is already an extraordinarily challenging and uncertain time. So remember how highly uncertain this is, but that [a restrictive level] is generally a range […]
2023 spreads invert further
June 17, 2022 –Short end calendar spreads are sending a very clear signal about the economy and the forward path of central bank policy after hikes by the Fed, SNB and BOE. EDZ2/EDZ3 closed yesterday at -33, down 4.5, and was lower after settlement; in January it was at high as +67. The FF spread […]
A couple of post FOMC notes
June 16, 2022 –SNB surprise 50 bp hike from -0.75 to -0.25. Fed hiked 75 of course, so new Fed Effective should now be 158 bps. August FF settled yesterday at 9773.0, up 3.5 bps to 227 bps. Powell said the August meeting is likely to be either 50 or 75. If 50 new EFFR […]
An itsy bitsy gully
June 15, 2022 “The market’s in an itsy bitsy little gully right now. Like everybody says, ‘OK that was crazy let’s just all calm down’”. That’s a line from The Big Short, delivered by the Florida real estate agent showing Mark Baum around a subdivision with For Sale signs everywhere. (But of course it could […]
Biden picks up a fiddle as Powell shuffles deck chairs
June 14, 2022 –At the 2:00pm CST settle, EDZ2 was 9609.5, down 29 on the day. Within another hour and a half it was printing 9588, down 50 on the day. I don’t think I have ever seen that sort of a post-settle move. This morning the contract prints 9591.0 and EDH3 has become the […]
Fear and Greed? Nah, just fear
June 13, 2022 –New lows in stock index futures this morning as we slide into quarterly expiration. Current ESM -95.00 at 3805.50. Rate futures have also plunged as fears of a 75 bp hike have gripped the market. EDM3, the weakest contract on the ED strip settled 9808.0 on Friday and is currently -23.0 at […]
Terminal and Neutral in Flux
June 12, 2022 Headline yoy CPI +8.6% with Core 6.0%. University of Michigan Consumer Sentiment 50.2, a historic new low. U of Mich 5-10 year inflation expectations 3.3, a level not seen since the 2008 peak of 3.4. Interest rate futures went into a tailspin, with EDH3 weakest on the ED strip, settling -28.5 at […]
CPI today
June 10, 2022 –A friend is calling it “the Biden rally” (thanks PC). SPX -2.4%. Yields rose with near ED calendars posting new highs. As EDM2 expires Monday, EDM2/EDM3 jumped 8.25 to 188.5. It’s the same in euribor with M3/M3 190. EDM2/EDU2 settled at a new high 93.0. Oct FF settled 9770.5, just a few […]
ECB today. US 2yr near new high
June 9, 2022 –Going into the last few days before June expiration, EDM2 calendars are pressing new highs (EDM2 is pegged and back contracts fell). EDM2/M3 settled 180.25 vs high 182 on April 21. EDM2/U2 settled at a new high 90.75. October Fed Funds settled 9772.5 or 2.275%; if the Fed hikes 50 in June, […]
RBI hikes 50. Yen at new low
June 8, 2022 –Yields fell yesterday, reversing much of Monday’s rise. Tens down 6.4 bps to 2.97% in front of today’s 10y auction. The curve was flatter; in euro$’s reds +3, greens +4.5, blues +7.75 and golds +9.125. –Today’s activity so far includes a 50 bp repo rate increase by India’s central bank. New low […]
