Archive for the ‘Eurodollar Options’ Category
Whipsaw
November 5, 2021 –Sept ’22 Short sterling leapt 28.5 bps yesterday to 9897.5, as the Bank of England left rates unchanged. The markets had found Carney to be unreliable, and Andrew Bailey is following right along the same path. In the US, it was the forward EDU’23 that was the star performer of the curve, […]
We need more inflation!
Nov 4, 2021 –The Fed began the process of tapering as the Treasury also announced cuts in auction sizes. The taper doesn’t cut the size of the Fed’s balance sheet, it simply reduces the pace of growth. Powell seemed somewhat uneasy in his press conference yesterday, again saying that the case for rate liftoff has […]
Vol implodes in front of today’s FOMC taper announcement
November 3, 2021 –To give an example of vol implosion yesterday, consider EDZ2 9962.5 calls. On Friday they settled 7.25 vs 9913. On Monday 6.5 vs 9910. Yesterday morning they were 5.5/6.5 vs Friday’s same futures ref 9913. And by settlement, as futures had rallied to 9918 they settled 6.0, DOWN 0.5 from Monday with […]
That’s what the world is today
November 2, 2021 –The RBA decided to: maintain the cash rate target at 10 basis points and the interest rate on Exchange Settlement balances at zero per cent continue to purchase government securities at the rate of $4 billion a week until at least mid February 2022 discontinue the target of 10 basis points for the April 2024 Australian […]
Dire Straits
October 31, 2021 Weekly Comment – October 31, 2021 *************************************** I think Mark Knopfler was ahead of his time with this one from 1982: Yeah, now the work force is disgusted, downs tools, walksInnocence is injured, experience just talksEveryone seeks damages, everyone agrees thatThese are classic symptoms of a monetary squeezeOn ITV and BBC they […]
Curve plunge
October 28, 2021 –Bank of Canada ended bond buying and accelerated the timetable for rate hikes, causing a waterfall of selling in the front end. In eurodollars the red/gold pack spread (2nd to 5th year) plunged an astonishing 17.5 bps with reds down 3.25 while golds surged 14.375. The spread made a new low for […]
Short end weakness weighs on curve
Oct 27, 2021 –Curve flattened yesterday with the 2y yield up just over 1 bp while tens fell 1.6 to 1.617%. Today 5’s are auctioned as the NY Fed desk buys $1.425b 10-22.5 year treasuries, adding to flattener pressure. 2/10 closed 117 bps and 5/30 just under 87, both hovering near recent lows. A spread […]
Rate hikes questioned
October 26, 2021 –Yields eased yesterday, partially because the prospect of the BOE hiking next week was thrown into question. An BBG story from early yesterday said ‘Tenreyo suggests bank of England can wait to move on rates’. Andrew Bailey, who has recently signaled the BOE would act to contain inflation risks, is not likely […]
One-yr euro$ calendars vs actual hikes
October 24, 2021 -Weekly comment ************************************** “If you stop at general math, you’re only going to make general math money.” – Calvin Cordozar Broadus Jr. aka Snoop Dogg “The simple mathematics of the yield curve governs the relationship between short- and long-term interest rates. Ten-year yields, for example, can be thought of as an average […]
Three hikes in a year?
October 22, 2021 –Interest rate markets continue to force the issue for hikes, with the red euro$ pack (2nd year) plunging 9.25 bps to an average price of 98.935 or 1.065%. At settlement, EDM’23 was the weakest contract, down 10 on the day to 9884.5. Going into the end of the session it traded as […]
