Archive for the ‘Eurodollar Options’ Category
Long end yields rebound, but vol indicates the move isn’t strong
December 9, 2021 –Long end yields continued to rebound yesterday. On Dec 3 the 30 yr bond yield bottomed at 1.675% and yesterday at futures settle it was 20 bps higher at 1.874%, and that’s in front of today’s 30-yr auction. Despite the yield rise, implied vol is easing as omicron worries subside. VIX went […]
A reversal of Friday’s yield plunge
December 7, 2021 –Significant rise in yields yesterday with tens jumping 9 bps to 1.431%, almost a complete reversal of Friday’s decline. Curve steepened from depressed levels, with red/gold euro$ pack spread gaining more than 7.25 bps as reds fell 6.5 and golds dropped 13.875. Three year auction today of $54 billion, followed by 10’s […]
Important auctions
December 6, 2021 –Friday marked the first day that back one-year eurodollar calendar spreads inverted, though the back of the UK curve has been inverted for quite some time. EDH’24/EDH’25 settled -2 bps. EDU’24/U’25 was the most inverted at -3.5. In the UK SFIH4/H5 settled -8. The market appears convinced that there’s a cap on […]
Policy Error, 2018
Weekly Comment – December 5, 2021 December euro$ midcurve options expire Friday. The front EDZ1 contract expires Monday, Dec 13. The FOMC meeting is December 15. Quarterly option expiration in equities is December 17. The first four Fed meetings in the new year are Jan 26, March 16, May 4 and June 15. EDH2 expires […]
Front end hammer
December 3, 2021 –The front end of the curve took another beating with the 2-yr note up 5.6 bps to 61.7 bps. The red euro$ pack (2nd year forward) closed -6 on the day, as several Fed officials supported an accelerated timetable on taper/tightening. To get the ball rolling, Bostic said it was in the […]
Crushing the curve
December 2, 2021 –Powell’s hawkish shift and widening (gov’t) panic related to omicron conspired to force new lows in the curve with 2/10 down 4 at 87.3, 5/30 down 1 at 62.4 and red/gold euro$ pack spread down 8.25 to just under 42! On the ED curve whites -1.125, reds -3.375, greens -0.375, blues +3.0 […]
If taper is faster, hikes comes faster
December 1, 2021 –EDU2 was trading 9944 when Powell suggested tapering could be accelerated, and it immediately traded 9931 before stabilizing and settling 9934. It currently trades 9927. The back end of the curve also sold off, but longer maturities then staged a strong rally, flattening some parts of the curve to new lows. For […]
Moderna says ‘panic’
November 30, 2021 –Yellen and Powell today at 10:00 EST, but Powell preempted his speech by saying late yesterday that omicron adds to economic risks and inflation uncertainty. We’re back to Friday’s action: lower oil, lower stocks, higher treasury prices and a tepid rally in gold. Both Bloomberg and FT lead off with warnings about […]
It’s the supply chain, mate. It’s broken.
November 28. 2021 – weekly comment Supply chain disruptions. All over the news. Widespread reports of chip shortages, images of ships stranded outside of ports, trucks idling at pick up points. The media is now constantly advising to order early, and be prepared to pay much higher prices. The analogy I would make in financial […]
Black Friday
November 26, 2021 –The day after Thanksgiving is known as black Friday, when retailers used to turn the corner for the all-important holiday selling season. Today, it’s about the new covid variant that threatens to ice the economic system (again). As of this writing, WTI is down 6% (CLF2) and mini-SP is down 2%. Interest […]
