Archive for the ‘Eurodollar Options’ Category
Midcurve euro$ put vigilantes
May 17, 2021 –Large new buyer Friday of 2EN 9900p for 5.5 to 6.0. Over 100k traded, and open interest rose nearly 64k to 97k. The underlying contract is EDU23, the first contract after the June 2023 cessation of libor. However, these options expire in just 60 days on July 16, which captures the next […]
Medium of transaction
May 16, 2021 – Weekly comment (This note is long due to charts)Last week a Bloomberg ‘five things’ post referenced a Diane Swonk (Grant Thornton Chief Econ) tweet which succinctly summarized the reasons sustained inflation shouldn’t be high on the worry list, even with a high expected CPI print. She said, “Some will use the […]
The People’s Economy
May 14, 2021 –Yesterday PPI was released at +6.2% with Core 4.1. The thirty year bond auction went off at 2.395. Fortunately, the two have nothing to do with each other. Today we get Retail Sales expected +1.0% and U of Mich inflation expectations survey with the one-year rate expected 3.4% and longer term 2.7%. […]
You WANTED inflation, well here it is
May 13, 2021 –They said there was going to be a temporary surge in inflation, and it’s here. CPI yesterday was 4.2% yoy with Core 3.0. Don’t expect much help from PPI today, expected +5.8% yoy with Core 3.8. Just for good measure, the NY Fed released its Underlying Inflation Guide at 2.7% for the […]
“Accommodation” strategies are running out of room
May 12, 2021 –Tens rose 2 bps to 162.4 in front of today’s auction, with CPI looming this morning. On the eurodollar strip, greens through golds settled down 2.5. New recent high in 5/30 just over 155, which is still about 10 away from the high of the year. Ten year tip breakeven made another […]
Inflation gets real
May 11, 2021 –Stocks are pushing a bit lower this morning, with inflation concerns popping up all of a sudden as an excuse. CPI is released this morning, expected 3.6% yoy with Core +2.3%. Auctions kick off with $58 billion in 3-year notes. I saw a clip this morning that put the inflation story into […]
Basic commodities to cyberhacks
May 10, 2021 –Friday’s miss in payrolls of 266k vs 1 million expected caught the rate market leaning and sparked an instant rally in eurodollars. Greens, the third year forward, were the strongest on the board, closing +6.625, (pack price of 9917, or 83 bps). Near one-year calendars out to Dec’22/Dec’23 made new recent lows, […]
Missing the biggest threat to stability
May 9, 2021 – Weekly comment You know that women never really faintAnd that villains always blink their eyes-Lou Reed, Sweet Jane What they depict in the movies, and in political theater isn’t always true, no matter how many times it is repeated. Inflation expectations aren’t anchored. The Fed released its Financial Stability report last […]
SuRpriSe!! Let’s throw some confetti in the street!
May 7, 2021 –Congrats to Bolingbroke and Spratt for being the lead article on Bloomberg this morning, highlighting the massive buying of 3EU 9800 puts, in the context of a “Jackson Hole surprise”. This strike was bought again yesterday for 6 to 6.5, with open interest jumping another 137k to 421k. The underlying EDU’24 contract […]
Inflation…in fed speakers
May 6, 2021 –Fed comments yesterday from Evans, Bowman, Rosengren, Mester and Clarida downplayed inflation even as commodities tell a different story. Below are a couple of news bullets: *EVANS: RISK OF AN OUTBREAK OF ACCELERATING INFLATION IS REMOTE*EVANS: MONETARY POLICY WILL BE ACCOMMODATIVE FOR SOME TIME – FED’S BOWMAN SAYS STILL SEES ‘SMALL’ RISK […]
