Archive for the ‘Eurodollar Options’ Category
immature markets
April 17, 2022 -Weekly comment Jack Dorsey Tweet NFT Once Sold for $2.9 Million, Now Might Fetch Under $14,000 Modest bids for the tweet, which was converted to a nonfungible token last year, reflect a maturing NFT market. The above is clipped from Sunday’s WSJ site. “Maturing market” is a rather charitable description of something […]
Bullard or BlackRock?
April 14, 2022 –Large block buying of 2y note futures (~80k in total) helped the cash yield fall another 4.9 bps to 2.336%. Red eurodollars were strongest on the strip closing +5.25 (greens +3.875, blues +3.0 and golds +3.25). Open interest in TU was +21k, while it was down 25k in FV and TY. Perhaps […]
Wide range of possibilities
April 13, 2022 –Lower than expected core inflation of 6.5% sparked talk of ‘peak inflation’ which translated into a plunge of shorter maturity yields. The two year note fell nearly 12 bps to 2.385%, 5s down 11.2 to 2.671%, 10s down 5.5 to 2.721%. At the start of April, the 2/30 treasury spread went slightly […]
Weak stocks, steeper curve, low liquidity
April 12, 2022 –Massive steepener again on Monday as the curve adjusts to the idea of balance sheet reduction beginning in May. On the euro$ strip, the red pack (2nd year forward) closed UP 4.375 bps and golds, 5th year settled DOWN 11.875. These moves are spectacular. On the treasury curve, 2’s yield fell 1.8 bps to […]
Something going wrong around here
April 10, 2022 – Weekly comment ‘Cause if my eyes don’t deceive meThere’s something going wrong around here-Joe Jackson Fed officials, especially Powell, used to loosely equate “inflation” with higher wages when the goal was to get to 2%. On August 27, 2020, the Fed adopted FAIT, Flexible Average Inflation Targeting. Just twenty months ago. […]
Short end absorbs hawkish Bullard comments/ long end not so much
April 8, 2022 –Bullard: “I would like the committee to get to 3-3,25% in the second half of this year.” Getting to 3-3.25 would be consistent with a eurodollar contract price of around 9663.0. Indeed, EDM3 settled at 9664.5 (+6 on the day) or 3.355%, and that contract is still the lowest price/highest yield on […]
Get ready for QT
April 7, 2022 –Curve continues a modest bounce with the two-yr yield unchanged at 2.50% and tens up 5.6 to 2.605% as the Fed readies a plan to trim the balance sheet by $95 billion per month. Stocks retreated yesterday but stabilized after the minutes. A 50 bp hike in May is now a foregone […]
Putting out fire…with gasoline
April 6, 2022 –Key line from Brainard speech:…the Committee will continue tightening monetary policy methodically through a series of interest rate increases and by starting to reduce the balance sheet at a rapid pace as soon as our May meeting. Given that the recovery has been considerably stronger and faster than in the previous cycle, […]
Brainard
April 5, 2022 –Light volume Monday featured a slightly steeper curve with the ten year yield up 3.5 bps to 2.408% and twos down half a bp to 2.424% (still inverted). EDM3, the ED contract with the highest yield, made an overnight low of 9858.5, but closed unchanged at 9868.5, suggesting that selling pressure is […]
Innovation blues
April 4, 2020 –A solid employment report contributed to a fierce sell off in near contracts. NFP rose 431k with an unemp rate of 3.6%. At the futures settlement, I marked 2s up 14.4 bps to 2.428% and 5s up 12.7 to 2.545%. New lows in most measures of the curve with inversions in 2/30 […]
