Archive for the ‘Eurodollar Options’ Category
Can zero rates in an inflationary environment foster destabilization?
May 28, 2021 –Front eurodollar futures are making new historic highs, with the June’21 contract settling 99.8825 or just 11.75 bps. The July and August contracts settled 99.885. Three month libor has been making a new low every day as the Fed’s RRP is flooded; yesterday’s operation totaled a record $485 billion. At the same […]
Bottlenecks that don’t open
May 27, 2021 –Yields edged slightly higher with tens up just over 1 bp at 1.574%. Once again, three month libor set a new historic record low yesterday at 13.5 bps, as the Fed’s monster RRP operation totaled $450 billion. Huge buyer of 50k EDU1 early at 9986.5 supported a final settle of 9987 or […]
Gaming the system
May 26, 2021 –Another new historic low in 3 month libor yesterday at 13.85 bps. Yesterday’s Fed Reverse Repo operation totaled an astonishing $435 billion. (Going big). Given the magnitude of excess reserves, yields again fell and the curve flattened, with tens down 4.4 bps to 1.562%. The red eurodollar pack was +2.0 on the […]
RRP
May 25, 2021 –Usage of the Fed’s RRP facility hit a whopping $395 billion as attached chart shows. It’s hard not to conclude something is ‘wrong’ when we see this sort of outlier regarding EXCESSS excess reserves. New historic low yesterday in 3-month libor at 14.088 bps. This morning China yuan is at a new […]
Fed framework change was a catalyst
May 24, 2021 –Over the past month TYM has pretty much traded from 131-28 to 132-20, currently at the upper end of that range at 132-17. On Friday ten year cash yield ended at 1.628% nearly unchanged from Thursday. Implied vol has compressed and is now at the low end with July at 4%. Tremendous […]
Reversal of flows
May 23, 2021 Major flows could reverse by summer The week ended with both three month libor and the Bloomberg bank funding index (BSBY3m) at new record lows, 14.700 bps and 11.578 bps. The front June Eurodollar future ended the week at 99.8525 or 14.75 bps. At the same time, July ten year treasury implied […]
Yields fall, vol crushed
May 21, 2021 –May equity option and June treasury option expirations today. Yesterday saw yields fall in the context of a flattening curve, with implied vol getting smashed. While TYM was up 14.5/32’s on the day, the TYM at-the-money 131.5 straddle settled at just 15/64’s. TYN implied hovering just above 4%, at the low end […]
t-t-t-t-taper
May 20, 2021 –Yields pushed higher after Fed minutes showed that some members wanted to accelerate the taper discussion. Tens rose 4.3 bps to 1.683%, while blue eurodollars (4th year forward) were the weakest on the strip, with the pack down 5.875. Interesting note on ZH about participation in the Fed’s Reverse Repo facility, quoting […]
Protecting against a hike that may be moved forward
May 19, 2021 –Twenty-year auction today, followed by Fed minutes. W/i 20 yr was 2.27% late yesterday. Tens were nearly unchanged at 1.64%. The dollar was weaker yesterday with DXY ending near the low of the day at 8975. The low of the year, set in early January was 8921. –While a lot of attention […]
Tips provide very few tips
May 18, 2021 –Three-month May Eurodollar contract had its final settlement yesterday at 99.8504, the highest final settle ever for a eurodollar contract with libor at a record low 0.14963. Interest rate futures were quiet, with the ten year yield closing unchanged at 1.637. There was continued buying of 2EN 9900p for 6.0 as open […]
