Archive for the ‘Eurodollar Options’ Category
Borrow and Invest
July 25, 2021 – Weekly Comment Coffee prices exploded higher last week on a frost in Brazil. On June 30, KCU1 settled 159.75. On Friday, the high was 209.50, with a settlement at 189.00. I was chatting with a friend in NY about this price action, and he mentioned that his daily afternoon latte was […]
Flippers
July 23, 2021 –Yields edged slightly lower on a quiet day with tens ending at 1.263%, down 1.7. Eurodollar strip +0.5 to +1.5 out to golds. There continues to be large midcurve put buying. Yesterday, a block of 40k 2EZ 9850 puts for 3.0 covered 9910.5 was notable, though it appears to be an exit […]
Risk on
July 22, 2021 –Much of Monday’s extreme yield plunge and flattening reversed yesterday with the 10y yield up just over 6 bps to 1.28%. Red/gold euro$ pack spread rose over 6 bps to 1.04625. Downside in Eurodollar options dominated. Example, buyer added to 3EZ 9837.5 puts from 11 to 12 with EDZ4 trading down to […]
Long yields edge back up
July 21, 2021 –Early heavy selling in EDU1 (over 100k down to 9984.5; settled 85.5) helped front calendars settle at new recent lows. EDU21/EDU22 fell 2.5 to just 14.0, while EDZ21/EDZ22 dropped 3 to just 20.5. The reds were further supported by the exit of about 70k 0EU 9975/9962/9950 put flies sold at 2.5. However, […]
Yield implosion
July 20, 2021 –Yields plummeted as stocks wobbled, tens and thirties fell 12 bps to 1.18% and 1.815% respectively. This, as SPX eased 1.6% with Nasdaq down just slightly over 1%. I guess it’s due to the delta variant. All curve trades were obliterated, making new recent lows. 2/10 down 10.4 bps to 97. Red/gold […]
Starting the week risk-off
July 19, 2021 –SPX fell 75 bps Friday and Nasdaq down 80 bps, with follow through this morning. Rate futures are higher, with TYU above 134-00 with the cash yield nearing 1.25%, the lowest since mid-Feb. Then ten year yield moved from 50 bps in August (the low set just before the Fed changed its […]
Inflation and Interest Rates. Unrelated
July 18, 2021 – weekly comment Here’s a nice summary of recent inflation data by CreditBubbleBulletin: Consumer Prices (CPI) jumped 0.9% in June, versus expectations of a 0.5% increase. Year-over-year CPI was up 5.4% (expectations 4.9%), the strongest jump since 2008. And for analysts with issues with year-over-year “base-effects”, consumer inflation was up 3.3% in […]
Flattening of back end continues
July 16, 2021 –Empire Mfg yesterday was 43.0, the highest ever. Import Prices were +11.2%, near the highest, although the oil surge in 2008 saw a print of +21.4. Though data isn’t uniformly strong, it is still surprising that yields were crushed yesterday, with tens down 5.7 bps to 1.297%. The curve flattened, with many […]
Real yields deeply negative
July 15, 2021 –Powell remains all-in to bring employment level to “full”. He noted in testimony that official data underestimate unemployment. The dual mandate of low inflation and full employment with a backdrop of financial stability has been replaced by one goal, based on data that the Fed Chairman calls faulty. PPI yoy of 7.3% […]
Tis but a scratch
July 14, 2021 –CPI yesterday was 5.4% with Core 4.5%, both much higher than expected, but an initial sell-off in rate futures was met with buyers, with US and WN almost immediately trading positive on the day. The weakest contract on the board was EDZ’23, which settled -8 at a price of 9891 or 1.09% […]
