Archive for the ‘Eurodollar Options’ Category
100 calls
Sept 28, 2021 –December 100 calls. You’re probably thinking, no, it was EDM2 100 calls that trade 1 yesterday, not December. I’m not talking euro$’s, but rather WTI. CLZ1 100 calls have about 18k in open interest and settled 15 cents yesterday. This morning Nov WTI is at a new high, up 95 cents to […]
In: Eurodollar Options
Higher yields
September 27, 2021 –EDZ3 trades 9879 this morning, -3.5 from Friday’s settle, and the lowest price since early April. Auctions of 2 and 5 year notes today, followed by 7s tomorrow. We’re seeing a concession for auctions…is it enough? Brainard slated to give a speech on the Economic landscape at 12:50. Williams speaks at noon, […]
In: Eurodollar Options
Weight on Fives
September 26, 2021 We begin with a couple of notes from the NY Fed’s UIG report and Liberty Street Economics blog. First, the Underlying Inflation Gauge “full data set” is 3.8% for August, unch’d from July. The “prices only” measure increased 0.1% to 4.1%. Second, from Liberty Street; ‘Have Consumer’s Long-Run Inflation Expectations Become Un-Anchored?’ […]
In: Eurodollar Options
I’ll let my money do the work
September 24, 2021 –Rates took a powerful jump yesterday (as did stock futures), with tens up 8.2 bps to 1.406% as the FOMC was digested and BOE tilted hawkish. The main steepening took place in the front end of the curve where all near euro$ one-yr calendars made new recent highs. EDZ’21/EDZ’22 gained 2.5 to […]
In: Eurodollar Options
Stretching out transitory
Sept 23, 2021 –Really? PCE Inflation was for 2021 was forced to reflect the realities on the ground in the SEP, moving from 3.4% to 4.2%, up EIGHT tenths. However, the projection for 2022 was only moved up 1 tenth, from 2.1 to 2.2%. This, despite the fact that shelter inflation hasn’t really fed through […]
In: Eurodollar Options
Fed day
Sept 22, 2021 –Fed announcement and economic projections, followed by press conference. In 2018, the Fed was both hiking and trimming the size of the balance sheet, a state of affairs that eventually resulted in a hard tumble in equities starting in October 2018 and going through the rest of the year. Now, the Fed’s […]
In: Eurodollar Options
Forced short-cover in treasuries as equities swoon
Sept 21, 2021 –Concerns about Evergrande contagion and the FOMC caused SPX to decline 1.7% and Nasdaq -2.2%. Interest rate futures rallied and the curve flattened. Tens fell 6 bps to 1.307%. In dollars, whites +0.375, reds +3, greens +5.75, blues +7.125 and golds +7.5. While ED open interest was modestly higher, every treasury future […]
In: Eurodollar Options
Slo-mo contagion
Sept 20, 2021 –Hey! ever hear of Evergrande? Of course it’s been in the news for some time, and I believe well known that it was going to miss payments this week, but the realities have now tumbled into global stocks. Along with the idea of a Fed taper. –On Friday, SPX and Nasdaq were […]
In: Eurodollar Options
FOMC projections
September 19, 2021 -Weekly Comment A Sunday headline on WSJ.com: Junk-Debt Sales Soar Toward Record Year. The $3 trillion market for low-rated companies’ debt is having its best year ever, powered by a rebounding economy and investors’ demand for any extra yield. Real yields on both US and European junk are negative. The obvious incentive […]
In: Eurodollar Options
Potential for a bearish breakout
September 17, 2021 –Stronger than expected Retail Sales sent yields higher. Got the magnitude right, but the sign wrong, +0.7% vs -0.7% expected. Tens rose 3 bps to 1.331%. The curve steepened slightly in dollars, although 5/30 edged to a new low just below 105 bps. In euro$’s the first five years of the strip […]
In: Eurodollar Options
