Archive for the ‘Eurodollar Options’ Category
Blues Brothers
October 21, 2021 But you know what it doesn’t have? Chicago cops. Because there are none left.
Bond bids are passive
October 21, 2021 –Energy prices are one of the most easily observed indicators of inflation, and CLZ1 was at a new high late yesterday, trading 83.54, up 1.10. This morning a large chunk of that gain has been given back, with stock futures slightly lower as well. Late weakness yesterday in the long end. TYZ […]
Send in the Guard!
October 20, 2021 –The curve rebounded somewhat from the hard flattening over the past couple of days. Five year yield fell 0.5 bp to 1.155% while the thirty year rose nearly 7 to 2.087% in front of today’s 20 yr auction. The red/gold pack spread (2nd to 5th year) jumped 8.75 to 96.375, sharply snapping […]
Turnaround Tuesday?
October 19, 2021 –Follow through Monday from Friday’s price action. All near euro$ calendar spreads made new highs as hike prospects are brought forward. Back spreads made new lows. Peak on the curve for a one-year calendar is still EDU’22/EDU’23 at 84.5, a new high for any 1-yr calendar this year. Of course, this spread […]
Front end implosion
October 18, 2021 –Eurodollar contracts are under continued pressure this morning with EDZ’22 printing a low of 9922.5, 7.5 lower than Friday’s settle (now trades 9925). On Sept 21, the day before the last FOMC meeting, the settle was 9957, so it’s been the equivalent of one full rate hike in less than a month. […]
In to the Fall
October 17, 2021- Weekly Comment *************************************** In my world, here’s what tells the story of the week: EDZ’21/EDZ’22 calendar spread rose 13.5 bps on the week from 38 to 51.5. EDZ’22/EDZ’23 was nearly unchanged, rising just 0.5 from 68.5 to 69.0. EDZ’23/EDZ’24 fell 12.5 bps from 43.5 to 31.0. In layman’s terms, the market moved […]
Capitulation
October 15, 2021 –Eurodollar curve continued to flatten even as stocks soared on earnings. New recent lows in pack spreads: red/green at 54.625 (holding above 1/2% but down 2.125 on the day). Red/gold 96.875, down 1.625 on the day. There was massive futures liquidation with open interest plunging 220k, almost all in the first two […]
That’s what this starship is all about
October 14, 2021 “Risk is our business! That’s what this starship is all about. It’s why we’re aboard her!”-Captain Kirk –There was some risk evident on the USS Eurodollar curve yesterday. It was as if Starfleet Command had announced a rate hike that would put a stake in the heart of forward economic growth prospects. […]
CPI, 30y, Minutes
October 13, 2021 –Today brings CPI, expected 5.3 yoy, with Core 4.0, both unchanged from last month. Thirty year bond auction. FOMC minutes after that. The IMF slightly downgraded global growth. “The outlook for the low-income developing country group has darkened considerably due to worsening pandemic dynamics. The downgrade also reflects more difficult near-term prospects […]
Fuel crisis
October 11, 2021 –CLX1 is up 2.00/bbl this morning at 81.35, a new high. A skim of headlines is all about energy prices and crisis. Coal prices at all-time high in China as “floods swamp mine hub”. FT leads with a story about gas shortages in Europe. Lebanon was plunged into darkness as electrical grid […]
