Archive for the ‘Eurodollar Options’ Category
Full scale invasion
February 24, 2022 –Invasion of Ukraine has gone full scale, sparking major market dislocations. As of this writing WTI is +8.25 over $100/bbl. ESH2 -91 to 4131, and that’s after a drop of 1.8% Wednesday. Gold +60 to $1970/oz. In rates, EDH3 is +12.5 to 9798.5 and TY is up a point to 127-09. Grains […]
Pain
February 23, 2022 –Starting with a couple of tweets, the first by Anneka Treon (finance commentator of some sort):“We have never placed this much attention on green energy, yet oil is almost $100/barrel. What am I missing?”One of the comments, “Replace ‘yet’ with ‘so’ “ –Another tweet from PekalaLaw. “Yikes! The 670,000 sq ft Nordstrom building […]
Income flows vs savings stocks
February 22, 2022 –Oil above $94/bbl this morning. New highs in nickel and aluminum. May Corn is 667. Putin’s decision to send troops to Ukraine is adding to inflationary pressure on input prices. The US curve is flattening. From Friday I noted that June’23 SOFR and the ten-yr treasury yield were equal. This morning SRM3 […]
Propensity for self-destruction
February 20, 2022 – Weekly comment When I awoke, I suddenly understood that this propensity for self-destruction was not an abomination, not something to be ashamed of or abhorred; it was our greatest strength. We turn the gun on ourselves not because we are more indifferent and less cultured than the British, or the French, […]
Blinken tasked with saving…stocks
Feb 18, 2022 –Russia/Ukraine situation was the main driver yesterday, with SPX -2.1% and Nasdaq -2.9% going into today’s option expiration. Options on March treasury futures also expire today. Yields declined with tens slipping back below 2%, ending at 1.97%, down 7 bps on the day. New talks between Lavrov and Blinken in the coming […]
50? Not so fast…
February 17, 2022 –A couple of interesting quotes from the minutes: “…participants generally noted that current economic and financial conditions would likely warrant a faster pace of balance sheet runoff than during the period of balance sheet reduction from 2017 to 2019. Participants observed that, in light of the current high level of the Federal Reserve’s securities […]
Bullard fever broke
February 16, 2022 –Eurodollar straddles sank yesterday as panic buying came to an end. A few examples: EDM2 9875^ settled 49.0 on Monday and 40.5 yesterday. EDZ2 9800^ settled 85.5 vs 9801 on Monday, and 76.0 vs 9804.5 yesterday. The eurodollar curve, which had been pounded into inversion on Bullard’s front-loaded comments, suddenly floated back […]
Bullard doubles down
February 15, 2022 –Skimming prices this morning, ES +57, Oil -2.80, Gold -13. TY -8.5. Hmmm, maybe Ukraine invaded Russia? Oh no, here it is, Russia is pulling back some troops from the border. The opposite reaction from yesterday’s intel that the invasion was taking place on February 16. Markets are bouncing around on questionable […]
Forward Guidance from the Market to the Fed: Don’t Get Too Tight
February 13, 2022 – Weekly Comment As of Friday, the lowest Eurodollar contract on the strip is EDZ’23, at a price of 9772.5 or a yield of 2.275%. Every contract in front is at a lower yield and every contract behind EDZ’23 is at a lower yield, in other words, the curve is inverted from […]
All the king’s horses and men
February 11, 2022 –Historic day on the short end with a yoy CPI print of 7.5%. At settle whites -23, reds -23.25, greens -11.625, blues -8.125 and golds -7.5. At settle, the weakest ED contract was EDU’22 at 9835.0, down 28.5 on the day, with EDZ’22 -28.0. But shortly after the settle EDZ2 was printing […]
