Archive for the ‘Eurodollar Options’ Category
Market already prices Bostic’s thoughts
June 25, 2021 –Today PCE deflator is released, the Fed’s preferred inflation measure. Year over year expected +3.9% from 3.6% last. YOY Core expected 3.4 from 3.1 last, levels which haven’t been seen since 1992. –The infrastructure bill moved closer to reality and banks easily passed the Fed’s stress test; bank share buybacks are coming, along […]
RIP McAfee and XBox
June 24, 2021 –Rates rose yesterday with green eurodollars, EDU23, Z23 and H24 settling -4.5, weakest on the curve. Tens rose just 1.5 bps to 1.485%. Selling pressure in dollars likely related to hedging for the 5-year auction and today’s 7-year. One new high to point out: EDZ21/EDZ22 plus 3 yesterday to 32.0. This is […]
Nonchalant
–Powell doubles down on inflation being transient at yesterday’s testimony, knocking down interest rate vol. The ten year yield eased 1.4 bps to 1.47%. New high in Nasdaq as Powell’s comments again drive demand for long dated “safe” assets. He said the Fed would not be pre-emptive in tightening. Sounds as if any concerns about […]
Powell today. Rinse. Repeat.
June 22, 2021 –Yields moved higher at the long end, indicating stabilization after curve flattening in the wake of the FOMC. Tens ended at 1.484%. On the eurodollar curve, reds +1.125, greens +1.75, blues +0.375 and golds -2.25. It appears as if short cover buying in golds has run its course. There were also new […]
The Weekly
Weekly comment – June 20, 2021 I am starting with a couple of quotes from the week: “I will be watching the Fed on Wednesday. If they treat these [inflation] numbers (which are material events)….if they treat them with nonchalance, then I think it’s just a green light to bet heavily on every inflation trade.” […]
Rate hike chance moves up
June 18. 2021 –Spectacular moves in many markets yesterday as players try to digest Powell’s upbeat economic summary and more hawkish outlook for monetary policy. (I think “players” may be a more appropriate word than “investors” for this type of volatility). Interest rate curves were one of the most visible reflections of changing positions, where […]
Steepness shifts to front end in wake of FOMC
June 17, 2021 –The five year note was crushed as the Fed indicated a couple of rate hikes by the end of 2023. Five-year (at futures settlement) was up 9.2 bps to 0.876%, while tens rose 6.1 bps to 1.558% and thirties actually fell a fraction of a bp. 5/30 spread easily made a new […]
Current Conditions
June 16, 2021 –Former NY Fed President Dudley often spoke about financial conditions. In a speech from March 2017, he mentioned 5 key inputs, short term treasury rates, long term treasury rates, credit spreads, the value of the dollar, equity prices. Going into today’s Fed meeting, 3-month libor is at a record low and bill […]
Bats*** crazy
June 15, 2021 –Curve bounced with the ten year yield rising 4.5 bps to 1.497% and 2/10 up 3.3 to 133.8. On Monday, 3-month libor set at a new record low of 11.8 bps, leading to the highest ever final settle of a euro$ contract, EDM1 at 99.8820. Coincidentally, Nasdaq made a new all-time high. […]
Inflated Household Net Worth
June 13, 2022 The ten year yield dropped 11 bps on the week to 1.45%, with CPI clocking in at 5% yoy. JOLTS data last week was off the charts at 9286k, indicating powerful demand to fill job openings. This week features the June FOMC meeting. The Fed has apparently won the “inflation is transitory” […]
