Archive for the ‘Eurodollar Options’ Category
MLK holiday/ abbreviated session
January 17, 2022 –Reds (2nd year) weakest on the euro$ strip Friday closing -9.625. Two year treasury yield jumped 7 to 96.5 as the market focuses on the pace and magnitude of upcoming rate hikes. Tens rose 6.2 to 1.77%. A couple of large ED option trades show the bias: +30k EDJ 9900/9875 put spread for 1 […]
I’ll take the Under, Jamie
January 16, 2022- Weekly comment EDH’22/EDH’23 one-year eurodollar calendar spread settled at 105 bps on Friday, a new high for the cycle for any one-year spread. FFF’22/FFF’23 one-year FF calendar spread settled 94.75 (also a new high, in September it was 20), so the market is settling in on the idea of four 25 bp […]
Blame it on…
January 14, 2022 –Blame it on Brainard…and other Fed officials who are teeing up an initial hike in March (which the rates market had already priced). SPX -1.4% and Nasdaq -2.5%. April Fed Funds settled 9969 or 31 bps, as compared to the current Fed Effective rate of 8 bps. So 23 of an expected […]
Worst is over?
January 13, 2022 –CPI hit 7% yoy, with Core 5.5%. There are hints in the financial press that the worst is over in terms of inflation. In the Chicago area we’ve had a couple of days of sub-zero weather. We’d like to think the worst is over…but it’s only mid-January. It’s still going to be […]
Unprecedented (but we knew that)
January 12, 2022 –CPI today expected at cycle high of 7% yoy as Powell yesterday acknowledged that high inflation can cause problems and vowed to do something about it. Yields fell, the curve flattened. Tens ended at 1.744%, a pullback testing last year’s March high. Re-opening auction of 10s today, with 30s tomorrow. Beige book […]
EDH2/EDH3 exceeds 100 bps
January 11, 2022 –Powell’s prepared remarks for today’s appearance in support of his re-nomination were released yesterday afternoon: The economy has rapidly gained strength despite the ongoing pandemic, giving rise to persistent supply and demand imbalances and bottlenecks, and thus to elevated inflation. We know that high inflation exacts a toll, particularly for those less […]
Making Widgets
January 10, 2022 –Tim Cook pulled down $100 million dollars last year. There’s a cute story on the NY Fed’s blog Liberty Economics on “The Effect of Monetary and Fiscal Policy on Equality.” –From FT: ECB’s Isabel Schnabel says low-carbon economy ‘poses measurable upside risks’ to inflation projections over medium term. –In the last couple […]
Imbalances
Weekly Comment – January 9, 2022 Yields surged in the past week, with the ten year ending the week at 1.766%, through last year’s high of 1.742% set at the end of Q1. The change from the previous Friday was 27 bps. A burst of selling pressure came after Wednesday’s release of December’s FOMC minutes, […]
Getting to the door first
January 7, 2022 –Employment report today with NFP expected 400k. This morning WTI crude is above $80/bbl, within $2 of last year’s high. Yesterday a friend mentioned that June’23 Brent 150 calls were bought for 0.95 in size of 10k, a strike that is more than double the price of the underlying. –The market continues […]
Legacy
January 6, 2022 –Robert J. O’Brien Sr passed away yesterday at 103. I never had the honor of meeting him, but that’s one hell of a legacy to have built a private firm with your name on it, that has thrived and competed to this day. I don’t think that can happen without a core […]
