Archive for the ‘Eurodollar Options’ Category
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 […]
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 […]
Amateurs
May 11, 2022 –CPI today expected 8.1% yoy from 8.5 last. Core expected 6.0 from 6.5. Curve bull flattened yesterday in front of today’s 10y auction with the 10y yield down 9 bps to 2.989% and 2s up 1 bp to 2.625%, as various Fed comments indicate comfort with the idea of at least two […]
NFIB and Russel
May 10, 2022 –Curve steepened as stocks fell to new lows on the year with SPX down 3.2% and Nasdaq Comp -4.3%. The two year note plunged 10 bps to 2.616%.EDM3 is up 40 bps from the pre-FOMC low of 9619, currently printing 9661 (still the lowest contract on the strip). 2/10 and 5/30 both […]
Soft landing for asset prices?
May 9, 2022 –ESM at ytd low 4053.75 this morning, down 65.75 as of this writing, with TYM also at a new low -15.5 at 117-10. The front end of the dollar curve is unchanged to a bit higher as flatteners continue to be exited after Powell’s dismissal of a 75 bp move. On Friday, […]
Long Shots
May 8, 2022 – Weekly Comment__________________________________ You got no time for the messenger Got no regard for the thing that you don’t understand You got no fear of the underdog That’s why you will not survive –Spoon – The Underdog Coming into the stretch, Rich Strike was in twelfth place. He was at least five […]
Pay now or pay later
May 6, 2022 –Tweet by @jasongoepfert that was going around late yesterday:“There have been 2 days in the past 25 years when S&P futures were down 3% and 10-yr treasury futures down 1%: October 9, 2008 and March 18, 2020.Someone is blowing up, and this is forced liquidation.”–I don’t know if the ‘blow-up’ rumor is […]
Bullard now irrelevant
May 5, 2022 –“…a 75 bp increase is not something the committee is actively considering.” With that rebuke, Powell effectively sidelined Bullard, who had been the primary advocate of aggressive hiking. We can now disregard Bullard’s speeches as interesting, but on the hawkish fringe, irrelevant for policy, just as Kocherlakota occupied the dovish fringe in […]
Interest rate anguish (with tens at 3%)
May 4, 2022 –New low settles in EDU2, Z2, H3, M3 (9720, 9671, 9646 and 9631.5) in front of the FOMC and futures are a couple lower this morning. Relentless. At the futures settle, 2s were at a new high yield of 2.768, up 3.5), 5s at 3.003 and tens at 2.956%. As a friend […]
Watch TIPS
May 3, 2022 –Fives, tens and bonds all ended above 3% on Monday, with 10s up 12 bps to 3.006%. The curve steepened with the 2y note up only 3.7 to 2.733%. On the eurodollar strip reds were down 7.125, greens -11, blues -12.375 and golds -14.875 (new lows for the move in the back […]
