Archive for the ‘Eurodollar Options’ Category
Rotation
January 5, 2022 –Yesterday the DJIA was up 214 points and Nasdaq was down 210 points (+0.6% and -1.3%). The red pack in euro$’s (2nd yr) was up 3 bps, and the gold pack (5th yr) was down 4 bps. Markets are undergoing asset rotation to start the year. Long duration big-tech is pressured by […]
Yields rise as longs exit
January 4, 2022 –Yields jumped and the curve bear steepened on the first trading day of 2022. Tens rose 12.8 bps to 1.623% and the 30-yr bond finally poked back above 2%, ending at 2.012%. As can be seen on the attached charts, tens have a lot of resistance just above 1.70%. I also added […]
Standing Repo
January 3, 2022 – Weekly Comment I’ve felt that yields on treasury securities are too low, especially given inflation rates. This note is more about open questions rather than prognostications. When Powell was asked at the last FOMC press conference why longer maturity treasury yields remained so low, he simply said that sovereign yields are […]
Happy (real) New Year
December 31, 2021 –I called the restaurant down the block and ordered a turkey club yesterday. It was $15. The online menu had it posted at $11.95. It’s a local place, I am sure they don’t much bother to update the website. The point is that people are increasingly seeing price rises like that. So, […]
A couple of bearish bond signals to end the year
December 30, 2021 –Yields took a nice jump going into 7y auction and year end. The 30y bond yield neared 2% at 1.955% (+5.7 on the day); the 20y ended the futures session at 1.991%. Still not quite able to break the 2% barrier. Curve steepened with 2/10 up 6.4 bps to 79.5. Similar move in […]
Might want to hedge that…
December 29, 2021 –Yields little changed Tuesday with tens at 1.477%. What is somewhat interesting is that even though volume across markets was quite light, open interest in FV was up 61k and in TY was +35.8k, rather large jumps. I might be off base, but would attribute the increases to yesterday’s five-yr auction and […]
KC and the Sunshine Band
December 28, 2021 –Light volume in rate futures; the curve flattened, weighed by the two year auction yesterday with fives on the slate for today. The two year yield rose 2 bps while the 30y bond fell 2 bps. SPX rumbled to a new all-time high, though Nasdaq is still below the high from late […]
Brief Bond Comment
December 26, 2021 -Weekly Did they get you trade / Your heroes for ghosts -Pink Floyd Thirties and tens had fairly big jumps in yields this week as omicron seems to be discounted by the markets. The ten year yield ended at 1.491% up 9.1 bps on the week, and thirties at 1.905%, up 8.9. […]
In: Eurodollar Options
Rare Corn
Dec 23, 2021 –Not much to report from interest rate markets yesterday as yields edged slightly lower in light trade. Tens fell 3 bps to 1.455% with Jan treasury option expiration today. There’s about 70k of open interest in both TYF 131c and 130p; the market feels comfortable right about in the middle. –A couple […]
Yields capped but vol firm
December 22, 2021 –Higher yields yesterday with the euro$ strip down 6.5 to 8.5 from reds to golds. Ten year yield ended at 1.484% up 6.7 bps. The concession drew buyers for the 20yr auction, which saw solid demand. Late day w/i yield was 1.95%; 2% seems to be a cap on the long end […]
