Archive for the ‘Eurodollar Options’ Category
Powell on Wednesday
May 2, 2022 –Friday featured a decline in equities, with SPX -3.6% and Nasdaq Comp -4.2%. Interest rate futures remained under pressure led by weakness in front, as EDU2 and EDZ2 both made new lows for the move. On Dec 31, EDZ2 settled 9895.5. On Friday it settled 9677.0, 218.5 bps lower in four months! […]
Colder by the Lake
May 1, 2022 -Weekly Comment We’ve entered that phase of the year when every kid from the west suburbs of Chicago used to hear this from their moms if they were going downtown, “Take a coat. It’s colder by the lake.” It’s a bit of sage insurance advice. Oak Park, where I grew up, is […]
Fed policy pivot 2H 2023
April 29, 2022 –Yields rose yesterday and the curve flattened, even as US Q1 GDP was reported at -1.4% vs expected +1.1%. The two year rose 7 bps to 2.646%, while tens added 5 to 2.863%. There were a couple of large trades in euro$ options: early buyer of 25k 0EQ 9750/9775cs for 2.5 (settled […]
King Dollar
April 28, 2022 –Treasury weakness into the end of the day with TYM trading 119-215 late; currently 119-28 in front of today’s Q1 GDP release, which is expected 1.0 to 1.2% with the Price Index +7.2%. Jobless Claims 180k, and the treasury auctions seven-year notes. Relief rally in stocks this morning as FB was better […]
NEUTRAL! (then ease)
April 27, 2022 –SPX fell 2.8% yesterday, down 121 to 4175.20, and has now completely reversed the torrid short covering rally which followed the March FOMC. As mentioned in yesterday’s note, the market is starting to suspect the Fed will fold like a cheap suit if equity market weakness persists. Here are some changes in […]
Pricing the Fed’s Resolve
April 26, 2022 –What has been the weakest (lowest priced) contract on the eurodollar strip bounced the most on Monday with EDM3 +14.5 to 9650.5, as the market re-assesses whether the Fed will have the resolve to walk the walk on aggressive rate hikes in the face of weakening stocks. From the highs in November, […]
Powell today
April 21, 2022 –From SF Fed’s Daly yesterday (BBG) “I see an expeditious march to neutral by the end of the year as a prudent path,” Daly said Wednesday in a speech in Las Vegas, noting that most forecasters see that level lying around 2.5%. “Moving purposefully to a more neutral stance that does not […]
2yr yield, ED5 and Fed Funds
April 20, 2022 –Yields continue their ascent, with tens adding another 5.3 bps to 2.913%. The thirty year ended (at futures settlement) just shy of 3% at 2.989%, up 4 bps, and the ten year swap was also marked near 3%, at 2.973%. Volume was light. The weakest contract on the eurodollar strip was EDU’23 […]
Yen falls
April 19, 2022 –Light volume associated with Easter Monday. Yields pushed to new highs with tens +5.6 bps to 2.86%, and 2/10 also edged to a recent high at 40.4, up 3.5 on the day. Buyer of about 20k FVM 116.5c for 3 to 3.5, settled 3 vs 113-06 (strike is over 60 bps away; […]
Rates move higher
April 18, 2022 –No relief for longs in rate futures. On Thursday the ten year yield rose 11.7 bps to 2.804%, with TYM settling 119-30. This morning TYM prints 119-20 with the cash yield moving ever closer to 3% (now 2.86%). 2/10 spread and other curve measures continued a furious rebound, with 2/10 ending Thursday […]
