Archive for the ‘Eurodollar Options’ Category
Often Wrong, Never in Doubt
January 30, 2022 – Weekly comment The ten year note ended the week at 1.777% and the thirty year bond at 2.08%. Core PCE prices 4.85%. The news media duly noted Powell’s hawkish press conference, with repetitive comments about the strength of the labor market, the resilience of the economy, and the fact that some […]
Everything you need to know is in a Dead song
January 28, 2022 Set up, like a bowlin’ pinKnocked down, it gets to wearin’ thin Truckin’ Grateful Dead –If you just look at EDM’24 from yesterday’s trade, you might say, “What’s the big deal? Nothing moved. EDM4 is down half a bp.” However, EDH’23, the weakest contract, was down 12.5 bps and EDM’27, the strongest, […]
The end of accommodation
January 27, 2022 –Can someone please tell Powell that employment is a lagging indicator? A few months ago his concern was that we needed to get the marginal worker re-employed, now he is amazed at how strong the employment market is (which he repeated several times). It was a much more hawkish performance than I […]
4 hikes a year
January 26, 2022 EDH2/EDH3 one-year eurodollar calendar settled 99.0 FFF2/FFF3 one-year Fed Fund calendar settled 97.75It’s all teed up for you Jay. Don’t f it up
Steeper curve as hike prospects lessen
January 25, 2022 –An early plunge in stocks reversed like the end of the Bills Chiefs game with the indexes ending in the green in overtime. The possibility of stock market weakness made some realize that perhaps their aggressive rate hike calls have been over-zealous, and the short end modestly re-priced near term hiking prospects. […]
Roller Coaster Markets
January 24, 2022 –Yields fell Friday as stocks melted, with both SPX and NDX closing below 200 DMAs. On the euro$ curve, reds outperformed, up 8.5, while golds (5th year) were up 7.0. Ten year was the leader on the treasury curve, with the yield falling 8.7 bps to 1.744%. Open interest was down significantly in […]
Gimme three steps
January 23, 2022 Gimme three steps, gimme three steps, misterGimme three steps toward the door?Gimme three steps, gimme three steps, misterAnd you’ll never see me no more. Lynyrd Skynyrd I was running down the road and the classic Lynyrd Skynyrd song came on, which I of course cranked up, and it reminded me of the […]
Two out of three ain’t bad
January 21, 2022 –NFLX fell 1.5% to a new low yesterday on weaker than expected subscriber growth. PTON continued its plunge, falling 24% to a new low, a complete roundtrip from the onset of Covid in March 2020. It started around 20, exceeded 160 at the end of 2020, and is now back at 24. […]
Every quarter
January 20, 2022 –While financial commentators have wildly sketched out scenarios for 6 to 7 hikes this year, a buyer of 70k EDM2 9925/9937.5/9950 c flies is targeting the quarterly meetings. EDM2 is currently 9921.5. The call fly traded and settled 2.25. Max profit of 10.25 occurs at middle strike 9937.5. 3m libor set yesterday […]
The bears are out
January 19, 2022 –Yields are on a rampage higher, with tens up nearly 10 bps to 1.866%. Front EDH2/EDM2 spread jumped 4 to a new high of 35 bps, and H2/H3 one-yr spread to a new high 109. April FF at 9965 are projecting small odds of 50 at the March FOMC. (9967 fully prices one […]
