Archive for the ‘Eurodollar Options’ Category
Paper claims
July 13, 2021 –New high SPX and Nasdaq on a light volume day. Yields edged slightly higher with tens ending at 1.363%. CPI today expected +0.5 month/month and 4.9% year over year. Core expected 4.0% from 3.8 last. Yesterday the NY Fed released consumer expectations of inflation at 4.8%, up from 4.0% at the last […]
Bond yield rebounding slightly this a.m.
July 9, 2021 –Yields continued to fall yesterday with tens down 3.2 bps at futures settlement to 1.289%. Fives were the leader, falling 4.5 to a yield of just 73.7 bps. On the euro$ curve greens (3rd year) were the strongest, closing +8.0. However, the curve steepened quite a bit from there, with golds (5th […]
Stocks reversing
July 8, 2021 –Stocks in a sharp reversal this morning with ES -56, Nasdaq -190 and RTY -38. Interest rate futures continue to rally after yesterday’s 4.7 bp drop in tens to 1.32%. New low once again in 2/10 which fell just over 4 bps to 110.7. Whether sparked by China’s continued clampdown on big […]
FOMC minutes today
July 7, 2021 –FOMC minutes today will perhaps give a better sense of taper timing as yields continued to fall yesterday. Tens down over 6 bps to just 1.368%. 2/10 treasury spread made a new low of 115, down 4.6 on the day. Red/gold (2nd to 5th year euro$ spread) now equals 2/10, settling at […]
Big Oil
July 6, 2021 –It’s all about oil this morning as the OPEC meeting disintegrated. CLQ1 currently 76.50, up 1.34. I’ve attached a chart which shows that a long term trendline off the 2008 high has been violated, though technical details probably aren’t all that important in the current environment. A BBG article this morning notes […]
Stop Making Sense
July 2, 2021 –NFP expected 716k with yoy Avg Hourly Wage +3.6% from +2.0 last. It doesn’t seem to matter to fixed income, as stocks power to new highs and oil trades above $75/bbl, the high since 2018. This period (mid 2018) was when data was strong following Trump’s tax cut package, and the Fed […]
Sanctimonious preaching
July 1, 2021 –Markit Mfg PMI for the euro zone hit a record 63.4. Today in the US, ISM Mfg is expected 61.0 from 61.2 last. Jobless Claims are expected 388k. The attached chart shows ISM Mfg Prices pinned towards historic highs at 88. Going into tomorrow’s payroll report, ADP was released yesterday at 692k, […]
Russian hacks spark reflation!
June 30, 2021 Little change in yields Tuesday, with tens unch’d at 1.478% as we head into payrolls on Friday. We get a hint with ADP this morning, expected at 600k. There is also a grain report, with futures trading slightly soft currently (Where in the hell is Beeks?). One trade of note was a […]
Lower yields
June 29, 2021 –Quiet session Monday which featured new highs in Nasdaq and SPX along with falling bond yields. TYU1 settled 132-08+ with a cash yield of 1.478%, well above the data release on Friday which showed Core yoy PCE prices +3.4% (TYU around 132-04 at the time). Interest rate futures continue to shake off […]
Transitory Intermediation*
Weekly comment – June 27, 2021 On Tuesday, Cleveland Fed President Loretta Mester gave a speech on monetary policy and financial stability. On Thursday, the Fed released its report that the banking system had passed stress tests without a problem. Here is a quote from Mester: There are several avenues through which the use of […]
