Archive for the ‘Eurodollar Options’ Category
Bureau of Weights and Measures
June 11, 2021 –A blockbuster inflation report was met with a shrug, as 5% yoy CPI caused the curve to make new lows and SPX to hit an all-time high. It’s incorrect to say the report “caused” the curve to make new lows, but that’s what occurred in any case. Core CPI was +3.8% yoy. […]
CPI… already in the rearview mirror
June 10, 2021 –Nearly all eurodollar calendar spreads etched out new recent lows as the ten year auction was well received, with tens closing just under 1.5%. 2/10 at a new low of 133.3, down 4 on the day, while 5/30 ended at 142.4. Red/gold pack spread closed -4.375 at 146.25, just below 50 bps […]
Risk free rates
June 9, 2021 –The ten year note yield dropped 4 bps to 1.526% yesterday in front of today’s $38 billion auction, and futures are slightly higher yet this morning. Various reasons given for continued strength in bonds. I saw one article surmise that taper bets are receding, while another said that inflation concerns are receding. […]
Operation Bitcoin
June 8, 2021 –Little net change in fixed income yesterday as the treasury kicks off with the three year auction. Tens were up less than 1 bp at 1.567%. Implied vol declined, especially in ED’s. June midcurve options expire on Friday. The green midcurve 99.4375 straddle on EDM’23, which settled 9943, settled 4.75 and the […]
Plus
June 7, 2021 –Front Soybean oil is at a new all-time high this morning at 72.77. Stocks and bonds have given back some of Friday’s gains which saw tens end at 1.56%, down over 6 bps. as a solid payroll number at 559k was lower than expected and well under whisper numbers. This week brings […]
Villains and Heroes
June 6, 2021 -Weekly Comment “I guess when one’s young, it seems very easy to distinguish between right and wrong. But as one gets older, it becomes more difficult. The villains and the heroes get all mixed up.” Rene Mathis – Quantum of Solace (James Bond) The bond market is bulletproof. It has absorbed all […]
Payroll day
June 4, 2021 –Yields rose modestly in front of today’s employment report. Tens +3.2 bps to 1.623%. Curve steepened with twos up only 1.3 to 15.8. NFP expected 650 to 675k. Yesterday’s ADP was 978k and ISM Services were at a record high 64.0. The bond market has been tremendously resilient in the face of […]
Bulls and bears
June 3, 2021 –Bull market: hacking for ransom. Bear market: NFTs. On the first topic, the FT has a headline, ‘Biden to rebuke Putin over hack of meat processor JBS.’ Oh good, I feel better now. On the second, I provide the link below with this interesting quote, “The NFT market has imploded over the […]
QE risks vs benefits
June 2, 2021 –The purpose of $120 billion per month in QE is to bring employment back to full capacity, which I suppose means that all service businesses that closed during Covid should be re-opened. At this point, QE appears to be a blunt tool, working against a counterforce of extended unemployment benefits. Yesterday Bullard […]
One more straw
June 1, 2021 –Reflation trade this morning with July WTI over $68/bbl at a new high. China raised the FX required reserve ratio from 5 to 7% in order to stem the strength of the yuan and it is having the intended effect with CNY now 6.38. Eurozone Markit Manufacturing PMI released this morning at […]
