Archive for the ‘Eurodollar Options’ Category
Spring, or a global replay of Arab Spring
March 21, 2022 –Friday featured a continued rip in stocks on the quarterly option expiration, with SPX gaining over 7% from Monday’s low to Friday’s close. In rates the curve flattened further, with 2/10 at a new low of 19 bps, down 6 on the day. In euro$’s reds (2nd year) to all deferred contracts made […]
2016 Rate Hike Cycle Compared to Now
March 20, 2022 – Weekly Comment In the last hiking cycle, the initial quarter percent hike occurred in December 2015. The next didn’t occur until December of 2016, which was the beginning of a series of hikes which lasted two years and culminated in December 2018 at a top rate of 2.25 to 2.50%. In […]
More certainty in rates?
March 18, 2022 –5/10 treasury spread came back to positive after inverting Wednesday, with fives -2.2 to 2.17% and tens +1 to 2.192%. However, on the eurodollar curve reds to deferred sank to new inverted lows. Red pack +0.875, greens +3.75, blues, +5.875 and golds +4.25. (Red/green settled -26.25 and red/gold -38.875). EDM’22 jumped 8.5 […]
Inversion leads to submersion
March 17, 2023 –The FOMC meeting resulted in a 25 bp rate hike and inversion in the 5yr to 10yr which ended at -1. (2.191% in 5s, +7.9 on the day and 2.181 in 10s, +2.3). As the attached chart shows, the red/green (2nd year to 3rd year) euro$ pack spread went to an historic inversion of -23.375 […]
FOMC day
March 16, 2022 –FOMC today with 25 bps expected. FFJ2 settled 9964.0 or 36 bps, 28 above the current EFFR. January ’23 FF contract settled 9818.0 or 1.82%, indicating 25 bps at every meeting through the end of the year, just like the 2004/2006 cycle which featured hikes at every FOMC meeting for 2 years. […]
Unpaid debts and Turning points
March 15, 2022 –“The Ides of March is the 74th day in the Roman calendar corresponding to 15 March. It was marked by several religious observances and was notable for the Romans as a deadline for settling debts. In 44 BC it became notorious as the date of the assassination of Julius Caesar which made the ides […]
Removing the Security Blanket
March 13, 2022 – Weekly Comment From a BBG article: “Asset purchases have been used as a blanket to smother the sparks of uncertainty in Europe for the last decade,” said Oliver Blackbourn, a fund manager at Janus Henderson Investors. “With a geopolitical shock of unknown length and intensity still on-going, markets have clearly been […]
STFR
March 11, 2022 –As advertised, yoy CPI was 7.9% and absorbed by the market without mishap. The thirty year auction was well-received as yields are finally moving toward a respectable level with the 30y ending 2.394%, though certainly not on an inflation-adjusted basis. Today we get University of Michigan’s Consumer Sentiment number, shown on the […]
CPI and the Z.1 report
March 10, 2022 –Today features CPI, expected 7.8 to 8.0% yoy. Job Claims as well. Wednesday was the last gasp QE buying, as the Treasury auctions the thirty-year bond today. Also released today is the Fed’s quarterly Z.1 for Q4. The financial press mostly focuses on the Household Net Worth feature of this report, which […]
Fed’s done buying, carry’s compressed and inflation is 8%. Wanna own the auction?
March 8. 2022 –Ten year yield rose 11 bps yesterday to 1.866 in front of today’s auction (with 30s to follow tomorrow). On the one hand, there’s demand for the safety of treasuries. On the other, who wants to own an asset with a 2% yield when oil is $125/bbl and inflation is raging? CPI […]
