Archive for the ‘Eurodollar Options’ Category
WIN (Whip Inflation Now)
Feb 10, 2022 Whip Inflation Now was a 1974 attempt to spur a grassroots movement to combat inflation in the US, by encouraging personal savings and disciplined spending habits in combination with public measures, urged by U.S. President Gerald Ford. Currently the US Gov’t is the number one undisciplined spender! –CPI today expected 7.2 or 7.3% […]
Red/green euro$ pack spread
February 9, 2022 –Yields ended higher on Tuesday with tens at 1.952%, up 3.6 on the day and just eclipsing the pre-covid high in late 2019 of 1.94%. The thirty-yr ended just under 2.25%. All near eurodollar calendar spreads made new highs: EDH2/EDM2 settled 45.5, up 1.5 on the day. EDM2/EDU2 settled 31.5, also up […]
Molecule crisis?
February 8, 2022 –This morning tens are back at late 2019 levels at 1.94%….pre-covid. The ten-yr swap is right at 2%. As of late yesterday, yields were a bit lower, with tens 1.916%. Today we have the three year auction, followed by 10s and 30s Wednesday and Thursday. CPI is Thursday, expected yoy 7.3%, and […]
Huge NFP print leads to huge straddle prices
February 7, 2022 –NFP of 467k when several shops were forecasting a negative number sent yields soaring higher. Tens rose 10.6 bps to 1.928%, while the 2-yr jumped 13.4 bps to 1.322%. Near eurodollar calendars made new highs, for example the front EDH2/EDM2 settled +5 at 44.0. EDU2/EDZ2 had a new high settle at 29.0. […]
Awesome
February 6, 2022 – Weekly Comment The transition away from the global benchmark for short term rates, upon which millions of contracts are based, is in full swing. The Libor rate, which contains a credit component, was subject to manipulation by bank traders. After much sanctimonious outrage, the regulators determined that SOFR, the secured overnight […]
Normalizing rates as the hinges come off everywhere else
February 4, 2022 –Suddenly the ECB woke up to the risks of inflation which sent the european short end into a tailspin. Wednesday to Thursday changes: Schatz up 12.6 bps from -45.8 to -33.2, and it had been as low as -64 on Jan 26. The bund went from 4.2 to 14.2 bps (it was […]
Virtual evaporation
February 3, 2022 –BOE and ECB today. FB plunged 20% on earnings miss after close, amazingly enough that’s about $175 billion in virtual value. Here’s a good quote from Reuters: “Investors looking at Meta are starting to realize that buying their stock is no longer mostly an investment into their ad platform. Investing in Meta […]
Early start before the snowstorm
February 2, 2022 –Stocks higher this morning after Alphabet results. March WTI is holding above 88, near new highs. ADP this morning expected 184k. –Rates trading was quiet yesterday, with yields edging slightly higher. Tens ended at 1.796% up 1.8 on the day. The eurodollar strip was +1 to -1, but one interesting note is […]
Communications
February 1, 2022 –Bostic clarified that a 50 bp hike was not his preferred policy path (then why even bring it up?) noting that he sees three hikes in 2022. There were several large block buys in EDH2 and EDM2 at 9946/47 and 9905.5/07; settled 9949.0 and 9909.5. EDM2 and EDU2 were the only contracts […]
Beans in the teens? How about the 20’s?
January 31, 2022 –March’22 soybeans print 1489 this morning, which is a new high for that contract. I believe the all-time high for a front contract was 1758 in 2012. While it’s probably the case that inflation prints will start coming down later in the year, the absolute price for food will likely still be […]
