Archive for the ‘Eurodollar Options’ Category
Hawkish Clarida highlights risks of changing Fed composition
August 5, 2021 –After a much weaker than expected miss in ADP drove interest rate futures to new highs, Clarida’s hawkish speech caused a sharp sell off. As an example, EDZ3 (green Dec) had a large outside range day, popping up to 9923.0 on ADP and breaking to 9909.5 on Clarida, ending at 9912.0, down […]
Hard Landing?
August 4, 2021 –Yesterday it was reported that Alphadyne lost $1.5 billion in the treasury short squeeze. Enough to exacerbate the move? Probably, but hardly a reason for continued strength in tens. This morning Tracy Alloway of BBG highlights a compelling chart, noting a strong correlation between airline stocks and the ten yr yield this […]
Waller sees strong jobs
August 3, 2021 –Ten year yield hit 1.15% and ended down 5.2 bps at 1.172% yesterday as ISM Mfg missed, coming in at a still-robust level of 59.5. Prices retreated to 85.7 from the near record 92.1 last. While inflation seems to have little to do with yields at this point, an article on ZH […]
Let’s run it thru the model
August 2, 2021 –A few things from Friday: the ten year yield fell 3.4 bps to 1.234%. There was a new buyer of 50k TYU1 133.5 put which settled 20 vs 133-145. On the short end, three-month libor set at a new all-time low of 11.775 bps. New recent low in EDH2/EDM2 at 4 bps, […]
Keystones
August 1, 2021 – weekly comment *********************************** “If you lose the keystones, you’re going to see very big changes.” – John Terborgh, Duke University I watched a fascinating documentary on PBS called Serengeti Rules, which outlined experiments and advances regarding the concept of “keystone species”. The first scientist was a guy named Bob Paine, who […]
TIPping point for commodities
July 30, 2021 –A couple of related charts are attached. One is the ten year inflation-indexed note yield, which has made a new all-time low near negative 116 bps. The five year is, of course. even more deeply negative, also at an all-time low, at -196 bps. Today we get the Fed’s preferred inflation number, […]
Labor market strong. Inflation high. We’ll keep rates at zero.
July 29, 2021 –At yesterday’s futures settlement, yields were higher, with tens up 2.5 bps at 1.26% and the green eurodollar pack (3rd year forward) the weakest on the strip at -6.5 bps. However, as Powell’s presser was digested, yields again slipped lower. For example, green Dec, EDZ3 was 9904.5 at 3:00pm settle, but quickly […]
FOMC as Covid risks are touted
July 28, 2021 –The Fed has always cited Covid as a risk to its outlook, and just before today’s FOMC announcement the CDC has decided that most people look better in masks and that the efficacy of vaccines is suspect. Yesterday featured a flatter curve and lower rates as China’s tech crackdown spilled into US […]
China tech spillover
July 27, 2021 –The China tech sell-off is continuing, leading to spillover weakness in US index futures. Hang Seng down 4.6%, and Shanghai Comp down 2.5%. Alibaba fell 5.5% and Meituan was crushed, falling 17.6%. The latter company is something like Groupon, but the clip I read was that both companies were hit as they […]
China Schools ‘For-Profit’ Tutors
July 26, 2021 –Today’s newsclips seem to be focused on the regulatory situation in China, where a new crackdown on “for-profit” educational firms is spilling over into broader selling. The larger US universities with massive endowment funds are nervously shifting on their feet… In any case, Hang Seng fell 4% and CSI300 fell 3.2%. China’s […]
